The Value Line Enigma: The Sum of Known Parts?
评估了1965至1996年间价值线投资调查的及时性排名，通过因子回归和与基准组合比较，发现其推荐表现超出预期模型，但考虑交易成本后难以实现超额收益。
The investment advice encapsulated in the Value Line Investment Survey's timeliness rank? ings is evaluated from 1965 to 1996 through time-series factor regressions, as well as by comparing recommendations to benchmark portfolios corresponding to their size, bookto-market, and momentum characteristics. In addition, recommendations that have experienced recent earnings surprises are purged to eliminate the effects of post-earnings announcement drift. There is evidence that Value Line recommendations exhibit perfor? mance beyond what is predicted by existing models of expected return. However, once transactions costs have been accounted for, it is doubtful profitable abnormal returns could have been realized.