Value Line Rank and Firm Size

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 phenomena. Value Line tends not to rank small firm stocks, and small firm stocks that are ranked are more likely to receive a low rank than large firm stocks. Within each size-sorted quintile of the market, the mean payoffs on costless positions constructed according to Value Line's recommendations are positive.