Asset Management and Industry Portfolio Indices: Momentum and Reversal Returns

Mario Toscano and Giuseppe Torluccio

Chapter 12 in New Issues in Financial and Credit Markets, 2010, pp 159-170 from Palgrave Macmillan

Abstract: 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.

Keywords: Reversal Pattern; Mutual Fund; Average Return; Credit Market; Median Return (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:pal:pmschp:978-0-230-30218-1_13

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DOI: 10.1057/9780230302181_13

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