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

  • Ying Zhang
  • Giao X. Nguyen
  • Steven V. Le
Registered author(s):

    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.

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    Article provided by Eastern Finance Association in its journal Financial Review.

    Volume (Year): 45 (2010)
    Issue (Month): 2 (05)
    Pages: 355-373

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    Handle: RePEc:bla:finrev:v:45:y:2010:i:2:p:355-373
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