PT  - JOURNAL ARTICLE
AU  - Ying Zhang
AU  - Ronald Zhao
TI  - An Investment Strategy Based on Value Line’s Dual-Rank System
AID  - 10.3905/joi.2011.20.4.040
DP  - 2011 Nov 30
TA  - The Journal of Investing
PG  - 40--49
VI  - 20
IP  - 4
4099  - https://pm-research.com/content/20/4/40.short
4100  - https://pm-research.com/content/20/4/40.full
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