Testing and Aggressive Investment Strategy Using Value Line Ranks: A Reply
回复读者对先前论文的评论，通过加入1974-81年数据展示遵循价值线投资服务建议进行活跃股票交易的效果，发现其贡献无法用贝塔风险因子解释，构成对有效市场假说的偏离。
ABSTRACT This paper answers the comments of readers of our earlier paper. Additional insight is gained by adding recent data to show the effect of following Value Line Investment Service recommendations in active stock market trading over the years 1974–81. We show that Value Line makes a statistically significant contribution, which cannot be explained by the Beta risk factor. We offer our results as an unexplained divergence from the Efficient Market Hypothesis, but with the tentative hypothesis that investment timing (i.e., the fact that the Efficient Market Hypothesis does not operate instantaneously) may explain much of the abnormality.