Publication

Revisiting the price effect in US stocks

Geertsema, Paul
; 
Lu, Helen
Citations
Altmetric:
Publication Type
Journal article with impact factor
Editor
Supervisor
Publication Year
2019
Journal
Finance Research Letters
Book
Publication Volume
30
Publication Issue
September
Publication Begin page
139
Publication End page
144
Publication NUmber of pages
Collections
Articles
Show all metadata
Abstract
Nominal price does not predict average stock returns in the cross-section of US stocks using the NYSE break-pointed, value-weighted portfolio formation approach adopted in the recent asset-pricing literature. The evidence in support of 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–French 3-factor model consistently yields positive alphas for trading strategies based on nominal stock prices.
Research Projects
Organizational Units
Journal Issue
Keywords
Return Predictability, Price Effect, Benchmark Models
Citation
Knowledge Domain/Industry
Accounting & Finance
DOI
10.1016/j.frl.2019.03.017
URI
http://hdl.handle.net/20.500.12127/7481
Other links
Embedded videos