The authors thank John Gallo, Darell Le, Peggy Swanson, Wikrom Prombutr, two anonymous referees, and Arnie Cowan (a former editor) for helpful comments that improved the paper. Part of this work was completed while Nguyen was at the Department of Finance, McCombs School of Business, University of Texas at Austin. We gratefully acknowledge the contribution of Value Line for providing timeliness rank information available through the online Value Line Investment Survey.
Yes, The Value Line Enigma Is Still Alive: Evidence from Online Timeliness Rank Changes
Article first published online: 16 APR 2010
© 2010, The Eastern Finance Association
Volume 45, Issue 2, pages 355–373, May 2010
How to Cite
Zhang, Y., Nguyen, G. X. and Le, S. V. (2010), Yes, The Value Line Enigma Is Still Alive: Evidence from Online Timeliness Rank Changes. Financial Review, 45: 355–373. doi: 10.1111/j.1540-6288.2010.00251.x
- Issue published online: 16 APR 2010
- Article first published online: 16 APR 2010
- analyst recommendations;
- market efficiency;
- value line;
- post-earnings announcement drift
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.