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

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.