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Market Efficiency and Value Line's Record

Authors: Huberman, Gur; Kandel, Shmuel;

Market Efficiency and Value Line's Record

Abstract

The Value Line investment record is frequently interpreted as evidence of market inefficiency. This article reconciles the record with market efficiency as one implication of a model that assumes a semistrong form of market efficiency and autoregressive state variables, which need not be identified. In the model, expected returns on assets depend on these state variables and can vary over time. Value Line's rankings are assumed to reflect knowledge of these state variables. The Value Line data are consistent with the model's implications, suggesting the Value Line's rankings predict systematic marketwide factors. The purported abnormal returns of positions based on Value Line's rankings are seen as compensation for the systematic risk associated with these positions. Copyright 1990 by the University of Chicago.

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    influence
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Powered by OpenAIRE graph
Found an issue? Give us feedback
selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
31
Average
Top 10%
Top 10%
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