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Investor response to online value line rank changes: Foreign versus local stocks

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Listed:
  • Prombutr, Wikrom
  • Lockwood, Jimmy
  • Zhang, Ying
  • Le, Steven V.

Abstract

We find that the Value Line effect is confined to U.S. stocks. U.S. listed stocks significantly outperform their benchmarks long after Value Line Timeliness rank change announcements. In contrast, we find no evidence of a Value Line effect for recommendations made for foreign stocks that list on U.S. exchanges, nor for those that list outside the U.S. For days surrounding rank change announcements, trading volume is abnormally high for U.S. listed stocks, but remains unchanged for the foreign stock sample. Our findings are unchanged after controlling for unique valuation challenges, varying market conditions, beta, firm size, book-to-market, momentum, and post earnings announcement effects.

Suggested Citation

  • Prombutr, Wikrom & Lockwood, Jimmy & Zhang, Ying & Le, Steven V., 2016. "Investor response to online value line rank changes: Foreign versus local stocks," Global Finance Journal, Elsevier, vol. 30(C), pages 10-26.
    • Handle: RePEc:eee:glofin:v:30:y:2016:i:c:p:10-26
    DOI: 10.1016/j.gfj.2016.05.002
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    References listed on IDEAS

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    More about this item

    Keywords

    Value Line ranking system; Analyst recommendations; Cross-listings; Market efficiency;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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