Investor Response to Online Value Line Rank Changes: Foreign versus Local Stocks

37 Pages Posted: 29 Nov 2015 Last revised: 16 Oct 2019

See all articles by Wikrom Prombutr

Wikrom Prombutr

California State University, Long Beach

Jimmy Lockwood

Southern Illinois University - Department of Finance; Colorado State University, Fort Collins - Department of Finance & Real Estate

Ying Zhang

Fairfield University - Charles F. Dolan School of Business

Steven V. Le

California State University, Long Beach

Date Written: February 9, 2016

Abstract

We find that the Value Line effect is confined to U.S. stocks. U.S. listed stocks significantly outperform their benchmarks long after Value Line Timeliness rank change announcements. In contrast, we find no evidence of a Value Line effect for recommendations made for foreign stocks that list on U.S. exchanges, nor for those that list outside the U.S. For days surrounding rank change announcements, trading volume is abnormally high for U.S. listed stocks, but remains unchanged for the foreign stock sample. Our findings are unchanged after controlling for unique valuation challenges, varying market conditions, beta, firm size, book-to-market, momentum, and post earnings announcement effects.

Keywords: Value Line ranking system, Analyst recommendations, Market efficiency

JEL Classification: G11, G14

Suggested Citation

Prombutr, Wikrom and Lockwood, Jimmy and Lockwood, Jimmy and Zhang, Ying and Le, Steven V., Investor Response to Online Value Line Rank Changes: Foreign versus Local Stocks (February 9, 2016). Global Finance Journal, Vol. 30, 2016, Available at SSRN: https://ssrn.com/abstract=2696395 or http://dx.doi.org/10.2139/ssrn.2696395

Wikrom Prombutr (Contact Author)

California State University, Long Beach ( email )

1250 Bellflower Blvd
Long Beach, CA 90064
United States

Jimmy Lockwood

Southern Illinois University - Department of Finance ( email )

Mail Code 4626
Carbondale, IL 62901-4626
United States
682.305.6095 (Phone)

HOME PAGE: http://https://business.siu.edu/people/finance/lockwood.html

Colorado State University, Fort Collins - Department of Finance & Real Estate ( email )

Fort Collins, CO 80523
United States
1-970-672-2117 (Phone)
1-214-380-5001 (Fax)

HOME PAGE: http://biz.colostate.edu/About/Directory/COLOSTATE-jimmyl

Ying Zhang

Fairfield University - Charles F. Dolan School of Business ( email )

N. Benson Road
Fairfield, CT 06824
United States

Steven V. Le

California State University, Long Beach ( email )

1250 Bellflower Blvd
Long Beach, CA 90064
United States

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