Please explain why. Also, will give thumbsup for prompt reply

Explain whats wrong with the following logic to construct multifactor asset pricing models.

step 1 Start with a simple asset pricing model, e.g. CAPM

step 2 Consider which patterns are explained by it and which are left unexplained.

step 3 If some firm characteristic X is unexplained, construct and include a new factor on the basis of this characteristic.

step 4 By definition your new model (with new factor would explain X)

step 5 Repeat steps b and c until all/most important anomalies are accounted for