@article {Zhang40, author = {Ying Zhang and Ronald Zhao}, title = {An Investment Strategy Based on Value Line{\textquoteright}s Dual-Rank System}, volume = {20}, number = {4}, pages = {40--49}, year = {2011}, doi = {10.3905/joi.2011.20.4.040}, publisher = {Institutional Investor Journals Umbrella}, abstract = {In this study, we document that the Value Line enigma originating from a timeliness single-sort portfolio no longer holds once trading costs are taken into account. In addition, we discover that safety ranks help explain cross-sectional stock returns within optimistic timeliness ranks. The information complementarity between timeliness and safety ranks makes it advisable to formulate a better investment strategy by constructing cross-ranking portfolios to yield significant abnormal returns allowing for conventional risk factors and transaction costs.TOPICS: Portfolio construction, equity portfolio management, technical analysis}, issn = {1068-0896}, URL = {https://joi.pm-research.com/content/20/4/40}, eprint = {https://joi.pm-research.com/content/20/4/40.full.pdf}, journal = {The Journal of Investing} }