While there is little controversy on the profitability of momentum strategies, their implementation is afflicted with many difficulties. Most important, chasing momentum can generate high turnover. Though there are already several attempts to make momentum strategies less expensive with respect...

We use statistical model selection criteria and Avramov's (2002) Bayesian model averaging approach to analyze the sample evidence of stock market predictability in the presence of model uncertainty. The empirical analysis for the Swiss stock market is based on a number of predictive variables...