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...

The author constructs an intertemporal model in which investors trade shares of a firm. All trading is done through competitive market makers. After the initial period and before the end of the planning horizon, information is asymmetrically distributed among traders, and the prices of investors...

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...