<scp>Higher‐order</scp> moments and asset pricing in the Australian stock market

This paper investigates a set of realised higher-order co-moment risk–return relationships in the Australian stock market. We test predictive power asset pricing model by implementing two-, three-, four-moment Capital Asset Pricing Model. Our findings show that investors respond differently to information related co-moments, and corresponding gamma (normalised co-skewness) kappa co-kurtosis) risk factors remain priced presence continuous beta jump beta. Furthermore, we find high-order measures are significant even when combined with firm characteristics.