RT Journal Article
SR Electronic
T1 An Investment Strategy Based on Value Line’s Dual-Rank System
JF The Journal of Investing
FD Institutional Investor Journals
SP 40
OP 49
DO 10.3905/joi.2011.20.4.040
VO 20
IS 4
A1 Ying Zhang
A1 Ronald Zhao
YR 2011
UL https://pm-research.com/content/20/4/40.abstract
AB 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