Higher　moments　of　risk　are　defined　and　higher　moments　risk　models,　including　single　variable　higher　moments　modeling　and　binary　variables　higher　moments　modeling　are　set　up　by　virtue　of　high-frequency　data　&　realized　volatility　theory.　Based　on　higher　moments　risk　model,　the　theoretical　framework　on　capital　asset　pricing　model　(CAPM)　of　higher　moments　is　put　forward　The　relationship　between　higher　moments　CAPM　and　traditional　CAPM　is　explained.　It　is　turned　out　that　higher　moments　CAPM　could　price　financial　risk　more　accurately　than　traditional　CAPM.