Skip to main content

Main menu

  • Home
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About the JOT
    • Editorial Board
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow PMR on LinkedIn
  • Follow PMR on Twitter

User menu

  • Sample our Content
  • Subscribe Now
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Trading
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Subscribe Now
  • Log in
The Journal of Trading

The Journal of Trading

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About the JOT
    • Editorial Board
  • Follow PMR on LinkedIn
  • Follow PMR on Twitter
Article

Pre-Event Trading Based on Value Line’s Weekly Rank-Change Announcements

Ying Zhang, Hongfei Tang, Wikrom Prombutr and Steven V. Le
The Journal of Trading Summer 2016, 11 (3) 61-79; DOI: https://doi.org/10.3905/jot.2016.11.3.061
Ying Zhang
is associate professor of finance in at Dolan School of Business at Fairfield University in Fairfield, CT.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: yzhang1@fairfield.edu
Hongfei Tang
is associate professor of finance at Stillman School of Business at Seton Hall University in South Orange, NJ.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: hongfei.tang@shu.edu
Wikrom Prombutr
is assistant professor of finance at the College of Business Administration at California State University, Long Beach in Long Beach, CA.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: wikrom.prombutr@csulb.edu
Steven V. Le
is professor of finance at the College of Business Administration at California State University, Long Beach in Long Beach, CA.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: steven.le@csub.edu
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.
Don’t have access? Sign up today to begin your trial to the PMR platform 

Abstract

This article investigates pre-event trading behaviors and investment returns surrounding Value Line’s weekly Timeliness rank-change announcements. The findings indicate that pre-event trading is accompanied by abnormal returns and volumes that are subject to rank changes. However, pre-event trading is not detected for stocks given Value Line Initial Reviews. Performance tests show that abnormal returns for pre-event trader portfolios are unexplained by a conventional four-factor asset-pricing model. Additional tests attest that pre-event traders generate superior performance, robust to adjustments for earnings shocks, transactions costs, size effect, and market conditions. With simultaneous upgrade and downgrade information, pre-event hedging strategies are further shown to be feasible and profitable. The authors contend that Value Line’s weekly Timeliness rank-change announcements generate abnormal returns for pre-event traders, exploiting an information asymmetry.

  • © 2016 Institutional Investor, Inc.
View Full Text

Don’t have access? Register today to begin unrestricted access to our database of research.

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Trading: 11 (3)
The Journal of Trading
Vol. 11, Issue 3
Summer 2016
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Trading.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Pre-Event Trading Based on Value Line’s Weekly Rank-Change Announcements
(Your Name) has sent you a message from The Journal of Trading
(Your Name) thought you would like to see the The Journal of Trading web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Pre-Event Trading Based on Value Line’s Weekly Rank-Change Announcements
Ying Zhang, Hongfei Tang, Wikrom Prombutr, Steven V. Le
The Journal of Trading Jun 2016, 11 (3) 61-79; DOI: 10.3905/jot.2016.11.3.061

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Pre-Event Trading Based on Value Line’s Weekly Rank-Change Announcements
Ying Zhang, Hongfei Tang, Wikrom Prombutr, Steven V. Le
The Journal of Trading Jun 2016, 11 (3) 61-79; DOI: 10.3905/jot.2016.11.3.061
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • LITERATURE REVIEW
    • DATA
    • METHODOLOGIES
    • EMPIRICAL RESULTS
    • ADDITIONAL ROBUSTNESS CHECK
    • CONCLUSIONS
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar

More in this TOC Section

  • COMMENTARY: Space Unicorns and the Intermarket Trading System: Revisiting Myths
  • COMMENTARY: Commentary on “If Best Execution Is a Process, What Does That Process Look Like?”1
  • COMMENTARY: Beyond the Black Box Revisited: Algorithmic Trading and TCA Analysis Using Excel
Show more Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow PMR on LinkedIn
  • Follow PMR on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 1559-3967 | E-ISSN: 2168-8427

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies