This paper studies the bull and bear market performance of portfolios formed on the basis of Value Line's rankings. We examine the effect of different market conditions on the excess return and systematic risk of portfolios formed on the basis of Value Line's rankings. Our results indicate that although securities that receive Value Line's top ranking for timeliness perform best during bull markets, they exhibited exceptionally poor performance during bear market conditions. These conclusions may lead investors to rethink how they should use Value Line's recommendations in forming their own investment portfolios.
All Science Journal Classification (ASJC) codes
- Economics and Econometrics