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UBC Theses and Dissertations

The ability of the Value Line Investment Survey to forecast "Probable twelve months market performance rank" Staley, Donald Ross

Abstract

In the thesis the author attempts to discover whether or not The Value Line Investment Survey shows evidence of an ability to forecast "Probable Twelve Months Market Performance Rank," a ranking of stocks according to their probable relative price performance within the succeeding twelve months. To test the ability to forecast, the author determines the significance of the correlation between the ranking of stocks according to the forecast and the ranking of stocks according to the observed relative price performance within the year. The conclusion drawn is that The Value Line Investment Survey does not show evidence of a consistent ability to forecast "Probable Twelve Months Market Performance Rank." The author also presents a model of the process which may underly the generation of stock market price changes. The author tests the assumption of the independence of price changes, a part of the model, on the data of the thesis and finds that the test results do not refute the assumption. The model, the "Random Walk Hypothesis," is related to the ability of The Value Line Investment Survey to forecast "Probable Twelve Months Market Performance Rank." It is concluded that The Value Line Investment Survey has failed to show that its forecasts are superior to forecasts based solely on past prices where the market is assumed to follow a random walk.

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