Momentum, Size and Value Factors versus Systematic Co-Moments in Stock Returns

30 Pages Posted: 27 Feb 2007 Last revised: 17 Jan 2014

See all articles by Chi-Hsiou Daniel Hung

Chi-Hsiou Daniel Hung

University of Glasgow - Adam Smith Business School

Date Written: July 9, 2008

Abstract

In this article, I evaluate the relative performance of momentum, size and book-to-market factors versus higher systematic co-moments in explaining the cross-section of returns, using both the OLS and GLS estimations, and tests whether the momentum factor (WML) proxies for higher co-moments. I find that the returns on the momentum, size and book-to-market portfolios are strongly associated with their higher order co-moments with the market return. Furthermore, all the WML, SMB and HML factors appear to be proxies for the measures of market risk not captured by the two-moment CAPM.

Keywords: Asset Pricing, Systematic Co-Moment, Momentum, Size, Value

JEL Classification: G11, G12

Suggested Citation

Hung, Chi-Hsiou Daniel, Momentum, Size and Value Factors versus Systematic Co-Moments in Stock Returns (July 9, 2008). Available at SSRN: https://ssrn.com/abstract=965765 or http://dx.doi.org/10.2139/ssrn.965765

Chi-Hsiou Daniel Hung (Contact Author)

University of Glasgow - Adam Smith Business School ( email )

Gilbert Scott Building
University of Glasgow
Glasgow, Scotland G12 8QQ
United Kingdom

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