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Yes, The Value Line Enigma Is Still Alive: Evidence from Online Timeliness Rank Changes

Yes, The Value Line Enigma Is Still Alive: Evidence from Online Timeliness Rank Changes,10.1111/j.1540-6288.2010.00251.x,The Financial Review,Ying Zha

Yes, The Value Line Enigma Is Still Alive: Evidence from Online Timeliness Rank Changes  
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AbstractBeginning 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.
Journal: The Financial Review - Financ Rev , vol. 45, no. 2, pp. 355-373, 2010
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