Our paper reexamines the methodology of Fama and French (1993) for creating US empirical risk factors, and proposes an extension on the way to compute the mimicking portfolios. Our objective is to develop a modified Fama and French (F&F) methodology that could be easily implemented on other...

This paper contributes to the literature on systematic co-moments in stock returns by documenting the effects of non-diversified variance, skewness, and kurtosis on asset valuation during the period 1996-2006. Through a methodology similar to that of Fama and French (1993), we derive premia able...