| Article ID: | iaor201522935 |
| Volume: | 11 |
| Issue: | 3 |
| Start Page Number: | 227 |
| End Page Number: | 240 |
| Publication Date: | Sep 1988 |
| Journal: | Journal of Financial Research |
| Authors: | Hall Thomas W, Tsay Jeffrey J |
| Keywords: | investment, statistics: empirical, finance & banking |
In this study, the performance of portfolios selected from among Value Line rank one stocks is compared with portfolios consisting of randomly selected New York Stock Exchange and American Stock Exchange stocks. Results indicate that before considering transactions costs, active traders who invest in Value Line rank one stocks can earn positive excess returns. However, after considering transaction costs, neither active traders nor passive investors in rank one stocks can earn returns that are statistically greater than returns achieved by portfolios of randomly selected stocks. These results are not sensitive to variations in portfolio size.