The study shows that measuring risk in investments goes beyond just looking at how different assets move together. It suggests that considering extreme outcomes is crucial for risk-averse investors. The researchers found that factors like return on small stocks compared to big stocks, return on high book-to-market stocks compared to low book-to-market stocks, momentum, and market liquidity can be explained by higher-order systematic comoments. This supports the idea that traditional risk measurement based on covariance is valid without needing to make assumptions about investor behavior.