English, Article edition: Higher-Order Systematic Comoments and Asset Pricing: New Evidence Duong Nguyen; Tribhuvan N. Puri

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Higher-Order Systematic Comoments and Asset Pricing: New Evidence
Author
  • Duong Nguyen
  • Tribhuvan N. Puri
Physical Description
  • article
Notes
  • We provide evidence supporting Rubinstein's (1973) model that if returns are not normal, measuring risk requires more than just measuring covariance. Higher-order systematic comoments should be important to risk-averse investors who are concerned about the extreme outcomes of their investments. Our paper shows that the Fama-French factors [SMB (return on small stocks less the return on big stocks), HML (return on high book-to-market stocks less the return on low book-to-market stocks)] as well as the momentum and market liquidity factors can be explained by the higher-order systematic comoments, and it lends support to the traditional covariance risk-based theory without having to resort to behavior assumptions. Copyright (c) 2009, The Eastern Finance Association.
  • RePEc:bla:finrev:v:44:y:2009:i:3:p:345-369
Language
  • English
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