Momentum, Size and Value Factors versus Systematic Co-Moments in Stock Returns
30 Pages Posted: 27 Feb 2007 Last revised: 17 Jan 2014
Date Written: July 9, 2008
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: Suggested Citation