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Asset Management and Industry Portfolio Indices: Momentum and Reversal Returns

In: New Issues in Financial and Credit Markets

Author

Listed:
  • Mario Toscano
  • Giuseppe Torluccio

Abstract

Identifying a robust methodology that enables periodic screening of the financial market is of one of the most covered areas of research in recent decades. Since the earliest works that defined financial markets as efficient markets (the efficient market hypothesis, or EMH Fama, 1970), efforts have been made to prove that such notions are merely utopian. Specifically, rather than destroying the foundations of the EMH, numerous studies have attempted to capture and anticipate future fluctuations of stock prices to model a portfolio that would allow investors to increase their profits and returns.

Suggested Citation

  • Mario Toscano & Giuseppe Torluccio, 2010. "Asset Management and Industry Portfolio Indices: Momentum and Reversal Returns," Palgrave Macmillan Studies in Banking and Financial Institutions, in: Franco Fiordelisi & Philip Molyneux & Daniele Previati (ed.), New Issues in Financial and Credit Markets, chapter 12, pages 159-170, Palgrave Macmillan.
    • Handle: RePEc:pal:pmschp:978-0-230-30218-1_13
    DOI: 10.1057/9780230302181_13
    as

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