Nominal price does not predict average stock returns in the cross-section of US stocks using the NYSE break … return predictability is largely constrained to small stocks, with a “low price effect” more prevalent up to the 1970’s and a … “high price effect” more prevalent from 1980 onwards. Among the six asset-pricing models tested in our study, only the Fama …

Nominal price does not predict average stock returns in the cross-section of US stocks using the NYSE break … return predictability is largely constrained to small stocks, with a “low price effect” more prevalent up to the 1970’s and a … “high price effect” more prevalent from 1980 onwards. Among the six asset-pricing models tested in our study, only the Fama …