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The Informative Role of the Value Line Investment Survey: Evidence from Stock Highlights

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  • Peterson, David R.

Abstract

I examine abnormal stock returns associated with “stock highlights” published by the Value Line Investment Survey. At the time of their publication, stock highlights elicit strong positive abnormal returns. They also have positive abnormal returns at the time of the earnings announcement preceding stock highlight publications. Post-earnings announcement drift is present, but is much too small to explain abnormal returns at the time of the publication of stock highlights. Thus, Value Line stock highlights provide useful information to investors. This information is rapidly reflected in stock prices, consistent with market efficiency.

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  • 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(4), pages 607-618, December.
    • Handle: RePEc:cup:jfinqa:v:30:y:1995:i:04:p:607-618_00
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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.
    2. Szakmary, Andrew C. & Conover, C. Mitchell & Lancaster, Carol, 2008. "An examination of Value Line's long-term projections," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 820-833, May.
    3. Marcus Schulmerich & Yves-Michel Leporcher & Ching-Hwa Eu, 2015. "Stock Market Anomalies," Management for Professionals, in: Applied Asset and Risk Management, edition 127, chapter 3, pages 175-244, Springer.
    4. 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.

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