Yes, The Value Line Enigma Is Still Alive: Evidence from Online Timeliness Rank Changes

Ying Zhang, Giao X. Nguyen and Steven V. Le

The Financial Review, 2010, vol. 45, issue 2, pages 355-373

Abstract: Beginning June 9, 2005, Value Line started announcing its "Timeliness" changes online at 10:00 a.m. on Thursday, one day earlier than Friday noon's post-delivery. We confirm that the Value Line effect still exists but shifts to Thursday in the Internet era. Unlike previous findings, the next-day abnormal return after the announcement has disappeared, suggesting that the market efficiently priced the change. We find that a portfolio upgraded from rank 5 to 4 gains the highest cumulative abnormal return of 9.07% over a 50-day window. Finally, we find that the post-earnings announcement drift does not explain the Value Line enigma. Copyright (c) 2010, The Eastern Finance Association.

Date: 2010
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