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...

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...

This article analyses the relation between a firm's equity capital structure, managerial and outside block ownership, and firm value based on a unique and hand-collected sample of 545 observations on 174 Swiss firms over the period from 2002 to 2005. While previous papers concentrate either on...

We study financial reporting and corporate governance in 218 companies accused of price fixing. These firms engage in evasive financial reporting strategies, including earnings smoothing, segment reclassification, and restatements. In corporate governance, cartel firms favor outside directors...

In this paper, we test alternative feature selection methods for bankruptcy prediction and illustrate their superiority versus popular models used in the literature. We test these methods using a comprehensive dataset of more than one million financial statements from privately held Norwegian...