TY - JOUR T1 - An Investment Strategy Based on Value Line’s Dual-Rank System JF - The Journal of Investing SP - 40 LP - 49 DO - 10.3905/joi.2011.20.4.040 VL - 20 IS - 4 AU - Ying Zhang AU - Ronald Zhao Y1 - 2011/11/30 UR - https://pm-research.com/content/20/4/40.abstract N2 - 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 ER -