Hostname: page-component-78c5997874-g7gxr Total loading time: 0 Render date: 2024-11-03T08:38:55.178Z Has data issue: false hasContentIssue false
  • English
  • Français

Security Price Reactions to Initial Reviews of Common Stock by the Value Line Investment Survey

Published online by Cambridge University Press:  06 April 2009

David R. Peterson
Get access Rights & Permissions [Opens in a new window]

Abstract

This study examines daily price reactions to initial reviews of securities by the Value Line Investment Survey. The reviews are found to convey information to the market as significant abnormal returns are found over a 3-day period around release of the information. Furthermore, there is no statistically significant subsequent price reation after this 3-day period, consistent with market efficiency.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 22 , Issue 4 , December 1987 , pp. 483 - 494
Copyright
Copyright © School of Business Administration, University of Washington 1987

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

[1]Black, F. “Yes, Virginia, There is Hope: Tests of the Value Line Ranking System.” Financial Analysts Journal, 29 (09–10 1973), 10–14.Google Scholar
[2]Brown, S., and Warner, J.. “Using Daily Stock Returns: The Case of Event Studies.” Journal of Financial Economics, 14 (03 1985), 3–31.CrossRefGoogle Scholar
[3]Copeland, T., and Mayers, D.. “The Value Line Enigma (1965–1978): A Case Study of Performance Evaluation Issues.” Journal of Financial Economics, 10 (11 1982), 289–321.CrossRefGoogle Scholar
[4]Dodd, P., and Warner, J.. “On Corporate Governance: A Study of Proxy Contests.” Journal of Financial Economics, 11 (04 1983), 401–438.CrossRefGoogle Scholar
[5]French, K. “Stock Returns and the Weekend Effect.” Journal of Financial Economics, 8 (03 1980), 55–69.CrossRefGoogle Scholar
[6]Gibbons, M., and Hess, P.. “Day of the Week Effects and Asset Returns.” Journal of Business, 54 (10 1981), 579–596.CrossRefGoogle Scholar
[7]Gregory, N. “Testing an Aggressive Investment Strategy Using Value Line Ranks: A Comment.” Journal of Finance, 38 (03 1983), 257.CrossRefGoogle Scholar
[8]Hanna, M. “Testing an Aggressive Investment Strategy Using Value Line Ranks: A Comment.” Journal of Finance, 38 (03 1983), 259–262.CrossRefGoogle Scholar
[9]Hite, G., and Owers, J.. “Security Price Reactions around Corporate Spinoff Announcements.” Journal of Financial Economics, 12 (12 1983), 409–436.CrossRefGoogle Scholar
[10]Holloway, C. “A Note on Testing an Aggressive Investment Strategy Using Value Line Ranks.” Journal of Finance, 36 (06 1981), 711–719.CrossRefGoogle Scholar
[11]Holloway, C. “Testing an Aggressive Investment Strategy Using Value Line Ranks: A Reply.” Journal of Finance, 38 (03 1983), 263–270.CrossRefGoogle Scholar
[12]Kaplan, R., and Weil, R.. “Risk and the Value Line Contest.” Financial Analysts Journal, 29 (07–08 1973), 56–61.CrossRefGoogle Scholar
[13]Kaplan, R., and Weil, R.. “Rejoinder to Fisher Black.” Financial Analysts Journal, 29 (09–10 1973), 14.Google Scholar
[14]Lakonishok, J., and Levi, M.. “Weekend Effects on Stock Returns: A Note.” Journal of Finance, 35 (06 1982), 883–889.CrossRefGoogle Scholar
[15]Lloyd-Davies, P., and Canes, M.. “Stock Prices at the Publication of Second Hand Information.” Journal of Business, 51 (01 1978), 43–56.CrossRefGoogle Scholar
[16]Rogalski, R. “New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note.” The Journal of Finance, 39 (12 1984), 1603–1614.Google Scholar
[17]Scholes, M., and Williams, J.. “Estimating Betas from Nonsynchronous Data.” Journal of Financial Economics, 5 (12 1977), 309–327.CrossRefGoogle Scholar
[18]Stickel, S. “The Effect of Value Line Investment Survey Rank Changes on Common Stock Prices.” Journal of Financial Economics, 14 (03 1985), 121–143.CrossRefGoogle Scholar