The characteristics book-to-market equity ratio, size and momentum are highly correlated with the average returns of common stocks. Fama and French (J Financ Econ 33(1):3-56, 1993), (J Finance 50(1):131-155, 1995) and (J Finance 51(1):55-84, 1996) argue (for size and the book-to-market equity...

We find that high-priced stocks show significantly higher Sharpe ratios than low-priced stocks. Also, price as an investment style is especially beneficial when applied in a multi-investment style setting, reducing portfolio volatility significantly while adding additional alpha. Implementing...