{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,20]],"date-time":"2026-10-20T17:39:04Z","timestamp":1792517944775,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>We show that, for any stochastic discount factor (SDF), the log expected gross excess return is an exact sum of joint return-SDF cumulants. The sum nests the familiar covariance channel at order two, co-skewness at order three, and co-kurtosis at order four. When the SDF is affine in a few observable risk factors, one structural parameter per factor prices the entire implied library of cumulant factors. The factor \u201czoo\u201d is therefore consistent with a low-dimensional SDF. In our tests, three structural parameters generate 31 cumulant prices, and the resulting 28 overidentifying restrictions are not rejected. The restricted model also forecasts held-out returns as well as the unrestricted one. Out of sample on 284 long-short anomaly portfolios, our cumulant models match the Fama\u2013French benchmarks on mean absolute alpha and cut unexplained average returns by a third.<\/jats:p>","DOI":"10.2139\/ssrn.7636458","type":"posted-content","created":{"date-parts":[[2026,10,20]],"date-time":"2026-10-20T16:51:15Z","timestamp":1792515075000},"source":"Crossref","is-referenced-by-count":0,"title":["Asset Pricing with Cumulants"],"prefix":"10.2139","author":[{"given":"Robert","family":"Parham","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Mihail","family":"Velikov","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-4235-6094","authenticated-orcid":true,"given":"Han","family":"Xiao","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,20]],"date-time":"2026-10-20T16:51:15Z","timestamp":1792515075000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7636458"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7636458","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}