The effect of value line investment survey rank changes on common stock prices

The information content of Value Line Investment Survey rank changes is investigated. The results suggest rank changes affect common stock prices, but the effect varies by the type of rank change. Changes from rank 2 to rank 1 have the most dramatic impact on prices. A cross-sectional analysis finds small firms have a greater reaction to a rank change than larger firms, which supports theories on the frequency of report arrival and precision of information. A speed of adjustment test concludes the prices of individual securities adjust to the information in a rank change over a multiple-day period.