THE RELATION BETWEEN THE VALUE LINE ENIGMA AND POST-EARNINGS-ANNOUNCEMENT DRIFT
成果类型：
Article
署名作者：
AFFLECKGRAVES, J; MENDENHALL, RR
刊物名称：
JOURNAL OF FINANCIAL ECONOMICS
ISSN/ISSBN：
0304-405X
DOI：
10.1016/0304-405X(92)90012-M
发表日期：
1992
页码：
75-96
关键词：
摘要：
We investigate the relation between the Value Line enigma and post-earnings-announcement drift. The ability of Value Line's 'timeliness' ranks to predict future abnormal returns is well-documented. However, we show that most rank changes occur within eight trading days of an earnings announcement. Once we control for post-earnings-announcement drift, differences in abnormal returns across Value Line timeliness ranks are no longer significant. Moreover, we find that timeliness ranks have no predictive power for firms with small earnings 'surprises'. We conclude that the Value Line enigma is a manifestation of post-earnings-announcement drift.