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Unraveling a puzzle: the case of value line timeliness rank upgrades

Author

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  • Nandkumar Nayar

    ()

  • Ajai Singh

    ()

  • Wen Yu

    ()

Abstract

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Suggested Citation

  • Nandkumar Nayar & Ajai Singh & Wen Yu, 2011. "Unraveling a puzzle: the case of value line timeliness rank upgrades," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(4), pages 379-409, December.
  • Handle: RePEc:kap:fmktpm:v:25:y:2011:i:4:p:379-409
    DOI: 10.1007/s11408-011-0172-z
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    References listed on IDEAS

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    1. Jegadeesh, Narasimhan & Livnat, Joshua, 2006. "Revenue surprises and stock returns," Journal of Accounting and Economics, Elsevier, vol. 41(1-2), pages 147-171, April.
    2. Barber, Brad M. & Lyon, John D., 1997. "Detecting long-run abnormal stock returns: The empirical power and specification of test statistics," Journal of Financial Economics, Elsevier, vol. 43(3), pages 341-372, March.
    3. repec:bla:joares:v:6:y:1968:i:2:p:159-178 is not listed on IDEAS
    4. Huberman, Gur & Kandel, Shmuel, 1987. "Value Line Rank and Firm Size," The Journal of Business, University of Chicago Press, vol. 60(4), pages 577-589, October.
    5. Holloway, Clark, 1983. " Testing an Aggressive Investment Strategy Using Value Line Ranks: A Reply," Journal of Finance, American Finance Association, vol. 38(1), pages 263-270, March.
    6. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
    7. Antonios Siganos, 2010. "Can small investors exploit the momentum effect?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(2), pages 171-192, June.
    8. Hanna, Mark, 1983. " Testing an Aggressive Investment Strategy Using Value Line Ranks: A Comment," Journal of Finance, American Finance Association, vol. 38(1), pages 259-262, March.
    9. Fama, Eugene F., 1998. "Market efficiency, long-term returns, and behavioral finance," Journal of Financial Economics, Elsevier, vol. 49(3), pages 283-306, September.
    10. Bernard, Victor L. & Thomas, Jacob K., 1990. "Evidence that stock prices do not fully reflect the implications of current earnings for future earnings," Journal of Accounting and Economics, Elsevier, vol. 13(4), pages 305-340, December.
    11. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
    12. Brav, Alon & Geczy, Christopher & Gompers, Paul A., 2000. "Is the abnormal return following equity issuances anomalous?," Journal of Financial Economics, Elsevier, vol. 56(2), pages 209-249, May.
    13. Peterson, David R., 1995. "The Informative Role of the Value Line Investment Survey: Evidence from Stock Highlights," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(04), pages 607-618, December.
    14. Carlos Castro, 2010. "Portfolio choice under local industry and country factors," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(4), pages 353-393, December.
    15. Peterson, David R., 1987. "Security Price Reactions to Initial Reviews of Common Stock by the Value Line Investment Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(04), pages 483-494, December.
    16. Gibson, Scott & Safieddine, Assem & Sonti, Ramana, 2004. "Smart investments by smart money: Evidence from seasoned equity offerings," Journal of Financial Economics, Elsevier, vol. 72(3), pages 581-604, June.
    17. Stickel, Scott E., 1985. "The effect of value line investment survey rank changes on common stock prices," Journal of Financial Economics, Elsevier, vol. 14(1), pages 121-143, March.
    18. Gregory, N A, 1983. " Testing an Aggressive Investment Strategy Using Value Line Ranks: A Comment," Journal of Finance, American Finance Association, vol. 38(1), pages 257-257, March.
    19. Holloway, Clark, 1981. "A Note on Testing an Aggressive Investment Strategy Using Value Line Ranks," Journal of Finance, American Finance Association, vol. 36(3), pages 711-719, June.
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    Cited by:

    1. 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.

    More about this item

    Keywords

    Value line timeliness ranks; Post-earnings announcement drift; Upgrades; Post-upgrade drift; Momentum; G14;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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