In the four moment CAPM, the preference of the investor is extended by adding kurtosis to three moment CAPM (Dittmar, 2002). Kurtosis is intended to capture the probability of outcomes that are highly divergent from the mean (Ben Naceur and Chaibi, 2007). Kurtosis is described by Darlington (1970) as the degree to which, for a given variance, a distribution is weighted towards its tails. The formula for the expected return in the four moment CAPM is defined by the following expression
[5]
Where , and are the slopes in the following regression:
[6]
= 1,…..n and t = 1,…T
