Unraveling a puzzle: The case of Value Line timeliness rank upgrades *
نویسندگان
چکیده
We examine a sample of Value Line’s timeliness rank upgrades that occur immediately following earnings announcements and find that the pre-event price momentum has significant incremental explanatory power for the post-event drift, after controlling for the level of earnings surprise. Therefore, the drift following Value Line’s timeliness upgrades of the stocks that it covers cannot be construed as a mere manifestation of the post-earnings announcement drift. Instead, these findings indicate that Value Line has been exploiting the price momentum effect for decades. Black (1973) had clearly stated that they do but his assertion has never been checked before to resolve the puzzling drift following Value Line rank upgrades.
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