Cohen is from Harvard Business School; Polk is from the Kellogg School of Management, Northwestern University; and Vuolteenaho is from the Department of Economics, Harvard University and the NBER. This paper subsumes the March 14, 1996, version of the paper titled “Will the Scaled-Price Effect in Stock Returns Continue?” We would like to thank Ken French and Grantham, Mayo, Van Otterloo & Co. for providing us with some of the data used in this study. We are grateful to Cliff Asness, Ron Bird, John Campbell, John Cochrane, Mike Cooper, Kent Daniel, Gene Fama, Ken French (referee), Bob Hodrick, Steve Kaplan, Matti Keloharju, Owen Lamont, Rafael Laporta, Andy Lutz, Andrei Shleifer, Jeremy Stein, and Maria Vassalou (discussant) for their suggestions. We received useful comments from the seminar participants at the NBER 2000 Summer Institute, GMO Research Conference, Harvard Business School brown bag lunch, Purdue University, and Chicago Quantitative Alliance 2001 Spring Meeting. We thank Qianqiu Liu for excellent research assistance.
The Value Spread
Version of Record online: 21 MAR 2003
© 2003 the American Finance Association
The Journal of Finance
Volume 58, Issue 2, pages 609–641, April 2003
How to Cite
Cohen, R. B., Polk, C. and Vuolteenaho, T. (2003), The Value Spread. The Journal of Finance, 58: 609–641. doi: 10.1111/1540-6261.00539
- Issue online: 21 MAR 2003
- Version of Record online: 21 MAR 2003
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