The Informative Role of the Value Line Investment Survey: Evidence from Stock Highlights
研究价值线投资调查发布的“股票重点推荐”发布前后的异常收益，发现推荐发布时和之前财报公告时均有正异常收益，且信息迅速反映在股价中，支持市场效率。
I examine abnormal stock returns associated with “stock highlights” published by the Value Line Investment Survey. At the time of their publication, stock highlights elicit strong positive abnormal returns. They also have positive abnormal returns at the time of the earnings announcement preceding stock highlight publications. Post-earnings announcement drift is present, but is much too small to explain abnormal returns at the time of the publication of stock highlights. Thus, Value Line stock highlights provide useful information to investors. This information is rapidly reflected in stock prices, consistent with market efficiency.