Chung, Y. Peter; Schill, Michael J. - In: The Journal of Business 79 (2006) 2, pp. 923-940
A growing literature contends that, since returns are not normal, higher-order comoments matter to risk-averse investors. Fama and French (1993, 1995) find that nonmarket risk factors based on size and book-to-market ratio are priced by investors. We test the hypothesis that the Fama-French...