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 robustness tests and factor regressions, the price effect stays alive despite revealing tight connections to investment styles like momentum, low beta and size. Our framework offers yet ignored explanations why nominal prices are consequential for stock returns. We line our argumentation using an event-based, market-wide dramatic dispersion of stock prices in our sample, turning a strong low-price into a strong high-price effect.
https://manualofmomentum.substack.com/p/nominal-high-priced-stock-portfolio