Document Type
Article
Publication Date
10-1993
Abstract
We extend the research on the Value Line Enigma by examining the performance of call recommendations in Value Line Options. Galai's hedge decomposition procedure identifies the components of the calls' returns. Abnormal call returns were most pronounced immediately following the purchase, which is consistent with studies of Value Line's stock rankings. The largest and most significant abnormal performance was by calls assigned the highest rank written on stocks judged by Value Line to be correctly priced. Abnormal call return performance by joint call and stock ranks was consistent with the hypothesis that Value Line identifies underpriced call options.
Recommended Citation
Broughton, John B., and Don M. Chance. "The Value Line enigma extended: An examination of the performance of option recommendations." Journal of Business (1993): 541-569.
DOI:10.1086/296617
Peer Reviewed
1
Copyright
University of Chicago Press
Comments
This article was originally published in Journal of Business in 1993. DOI: 10.1086/296617