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, 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.

Date: 2010
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