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...

Einleitung: In der zweiten Hälfte der neunziger Jahre ist die Verbesserung der CorporateGovernance börsennotierter Gesellschaften zu einem intensiv diskutiertenThema geworden. Im Unterschied zu früheren Debatten, wie sie vor etwazwanzig Jahren anlässlich der Arbeit von Jensen/Meckling (1976)...

The doctoral thesis of Louis Bachelier (1900) is widely considered as the seminal work inoption pricing theory. However, only a few years later, 1908, Vinzenz Bronzin, who wasa professor of actuarial science at the Accademia di Commercio e Nautica in Trieste,published a booklet (in German) on...

This paper uses statistical model selection criteria and Avramov’s (2002)Bayesian model averaging approach to analyze the sample evidence onstock market predictability in the presence of model uncertainty. Basedon Swiss stock market data, our posterior analysis finds that neither thecumulative...

This paper examines how the evidence of stock market predictability affectsoptimal portfolio choice for buy-and-hold and dynamic investors withdifferent planning horizons. As in Barberis (2000), particular attention ispaid to estimation risk, i.e., uncertainty about the true values of the...

It is common to differentiate asset allocation strategies with respect tothe length of the planning horizon. The process of selecting a long-termtarget asset allocation is commonly called strategic asset allocation. Theshort-term variation in asset allocation around that target is called...

Recent empirical work shows evidence of a positive relationship between firm-specific corporate governance and firm valuation. Instead of looking at a single control mechanism, we use a broad corporate governance index and additional variables related to ownership structure, board...

This paper aims to survey selected recent papers presenting new evidenceon an age-old question in financial economics: Are stock market returnspredictable?. The hypothesis that equity returns are predictable (specificallyat long horizons) has been called a new fact in finance by Cochrane(1999)....

Capital market frictions and especially asymmetric information pose significantproblems concerning the financing of young growth companies. I first blind outthe existence of any intermediaries and use this simplified situation to systematicallyshow these financing problems and relate them to...

We examine the underpricing and long-term performance of a broad set ofSwiss IPOs from 1983 to 2000. The average market adjusted initial return is34.97%. Our results support the ex ante uncertainty hypothesis, the signallinghypothesis and, to some extent, the market cyclicality hypothesis...