Asset Pricing When Returns Are Nonnormal: Fama-French Factors versus Higher-Order Systematic Comoments

By Y. Chung, H. Johnson, Michael J. Schill. 2006

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Extreme Downside Risk and Expected Stock Returns (2012, unknown): “Some researchers adopt leptokurtic distributions such as student’s t (Liesenfeld and Jung, 2000) and those with higher-order moments (Chung et al., 2006) to capture information endowed in the fat tails.”
Skewed distributions in finance and actuarial science: a review (2015, methodology): “More recent studies by Harvey and Siddique (2000), which is discussed in Section 3, and Chung, Johnson, and Schill (2006) empirically examine the effects of co-skewness and higher-order co-moments on determination of the cost of equity.”