search query: @author Kandel, S. / total: 15
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| Author: | Huberman, G. Kandel, S. |
| Title: | Value Line rank and firm size |
| Journal: | Journal of Business
1987 : OCT, VOL. 60:4, p.577-589 |
| Index terms: | COMPANIES BY SIZE STOCK OPTIONS |
| Language: | eng |
| Abstract: | It is attempted to explore whether Value Line Investment Survey's success at picking stocks is attributable to the firm size effect. Little evidence is found for such a direct relation. Small firm stocks are underrepresented in Value Line's universe, and, for those that are ranked, Value Line's tilt is to assign them a low rank. Within each size-sorted quintile of the market, the mean payoffs on costless positions constructed according to Value Line's recommendations are positive. An explanation for Value Line's rankings' better performance with small firms' stocks is that Value Line better estimates small firms' sensitivities to the priced state variables. |
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