We document a nominal stock price effect that is (like momentum) associated with (national) culture. Using the full spectrum of cultural dimensions proposed by Hofstede et al. and the cross-section of stock returns of 41 countries, we not only show a robust predictive and explanatory power of price in conjunction with several cultural dimensions, but of cultural differences in general. Although momentum and price are related investment strategies, we find a broad (escalating) European high-price effect, but a material low-price effect in Asia as well as the most significant and robust low-price effect for the US. Most consistent around the world, high-priced stocks show lower return volatility and market betas than low-priced stocks and lower values for skewness of returns.
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.