This paper studies the relation between Value Line's successful record in predicting relative stock-price movements and the firm size effect. The data suggest little direct relation between the two phen omena. Value Line tends not to rank small-firm stocks, and small-firm stocks that are ranked...

This article analyzes a call market that enables conditioning not only on an asset price but also on an index (a weighted average of stock prices) that is determined simultaneously with the prices of all assets. The authors compare two trading systems, with and without index conditioning, and...

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...