Concepedia

Higher-moment Factor Models

Higher-Moment Factor Models is a class of asset pricing models that extends traditional factor models by incorporating higher-order moments—such as skewness and kurtosis—of asset return distributions to capture non-Gaussian return characteristics and their systematic risk exposures.

15

Publications

577

Citations

29

Authors

24

Institutions

Publications per year

2017–2026

3

Parents

Publications

15

CAPM, Higher Co‐moment and Factor Models of UK Stock Returns

Mark B. Shackleton, Xinzhong Xu · Journal of Business Finance &amp Accounting · 2004 · 126 citations · Full text

, , +17

Asset Pricing, Higher Moments, and the Market Risk Premium: A Note

R. Stephen Sears, K.C. John Wei · The Journal of Finance · 1985 · 103 citations · Full text

, , +16

A hybrid approach for portfolio selection with higher-order moments: Empirical evidence from Shanghai Stock Exchange

Bilian Chen, Jingdong Zhong, Yuanyuan Chen · Expert Systems with Applications · 2019 · 83 citations

, , +17

Do Higher-Moment Equity Risks Explain Hedge Fund Returns?

Vikas Agarwal, Gurdip Bakshi, Joop Huij · SSRN Electronic Journal · 2009 · 59 citations · Full text

, , +17

CAPM, Higher Co-moment and Factor Models of UK Stock Returns

Chi-Hsiou Daniel Hung, Mark B. Shackleton, Xinzhong Xu · SSRN Electronic Journal · 2003 · 41 citations · Full text

, , +17

1–5 of 15

Authors

29

  1. JH
    Joop Huij

    Erasmus University Rotterdam, Netherlands

    3 publications · 86 citations

    3

    h-index

  2. VA
    Vikas Agarwal

    Georgia State University, United States

    3 publications · 86 citations

    3

    h-index

  3. GB
    Gurdip Bakshi

    Temple University, United States

    3 publications · 86 citations

    3

    h-index

  4. MB
    Mark B. Shackleton

    Lancaster University, United Kingdom

    2 publications · 167 citations

    2

    h-index

  5. KJ
    K.C. John Wei

    Hong Kong Polytechnic University, Hong Kong SAR China

    2 publications · 114 citations

    2

    h-index

1–5 of 29

Institutions

24

  1. Temple University

    Philadelphia, United States

    3 h-index

    3 publications

    87 citations

  2. Lancaster University

    Lancaster, United Kingdom

    2 h-index

    2 publications

    167 citations

  3. University of Cologne

    Cologne, Germany

    2 h-index

    2 publications

    74 citations

  4. Peking University

    Beijing, China

    2 h-index

    2 publications

    124 citations

  5. Erasmus University Rotterdam

    Rotterdam, The Netherlands

    2 h-index

    2 publications

    74 citations

  6. Georgia State University

    Atlanta, United States

    2 h-index

    2 publications

    74 citations

  7. Fox College

    Chicago, United States

    2 h-index

    2 publications

    74 citations

  8. University of Glasgow

    Glasgow, United Kingdom

    1 h-index

    1 publications

    41 citations

1–8 of 24

Venues

  1. SSRN Electronic Journal

    Repository · 3 publications · 115 citations

    3

    h-index

  2. Journal of Business Finance &amp Accounting

    2 publications · 136 citations

    2

    h-index

  3. The Journal of Finance

    2 publications · 114 citations

    2

    h-index

  4. European Financial Management

    1 publications · 13 citations

    1

    h-index

  5. Sustainability

    1 publications · 14 citations

    1

    h-index

1–5