This study examines the relationship between the performance of portfolios formed according to the Value Line timeliness ranks and the firm size, the share price, and the earnings to price (E/P) ratio stock return anomalies. The primary issue examined is to determine if the same unobserved factors that are believed to be responsible for the stock return anomalies are also responsible for the abnormal returns earned by portfolios formed according to the Value Line ranks. The results from this study indicate that the performance of the Value Line portfolios cannot be attributed to the factors that are responsible for the anomalies. / Another issue examined is whether a Value Line-based investment strategy would provide larger abnormal returns than would investment strategies based on the anomalies. Portfolio-based tests were used to examine this issue. These tests indicate that a Value Line-based strategy will provide abnormal returns; however, these abnormal returns are not as high as the abnormal returns that appear to be available to a strategy based on firm size or share price. / This study also indicates that the Value Line rankings do not work during the month of January. Unlike the anomalies, the abnormal returns to a Value Line strategy are not concentrated primarily in January. / Finally, the relationship between the firm size, share price, and E/P anomalies for firms traded on the New York Stock Exchange (NYSE) and the American Stock Exchange (AMEX) is compared to the relationship the between the anomalies for firms traded through the National Association of Securities Dealers Automated Quotation System (NASDAQ). The results indicate that the relationship between the anomalies is not the same of the NASDAQ firms as it is for NYSE and AMEX listed firms. / Source: Dissertation Abstracts International, Volume: 52-05, Section: A, page: 1847. / Major Professor: David R. Peterson. / Thesis (Ph.D.)--The Florida State University, 1991.
| Identifer | oai:union.ndltd.org:fsu.edu/oai:fsu.digital.flvc.org:fsu_76397 |
| Contributors | Goff, Delbert C., Florida State University |
| Source Sets | Florida State University |
| Language | English |
| Detected Language | English |
| Type | Text |
| Format | 246 p. |
| Rights | On campus use only. |
| Relation | Dissertation Abstracts International |
Page generated in 0.002 seconds