Analysing the Asymmetric Information Associated with Value Line Timeliness One Ranks a Decision Rule Analysis

The Efficient Market Hypothesis (EMH) assumes each security's price remains at continuous parity with its investment value. Accordingly, EMH denies that analytical trading rules using price or fundamental data result in strategies capable of outperforming market averages on a risk-adjusted basis after transaction costs. This paper demonstrates that analytical trading rules can outperform market averages. Specifically, the analysis shows the possibility of generating superior investment performance by selecting a population subset from the Value Line Timeliness Rank Ones. This study, utilising decision rule analysis, outperformed the Value Line Ones using a 90-day forecasting horizon on a risk-adjusted basis