Can Individual Investors Beat the Market?
AbstractWe document strong persistence in the performance of trades of individual investors. Investors classified in the top 10 percent place other trades that on average earn excess returns of 15 basis points per day. A rolling-forward strategy of going long firms purchased by previously successful investors and shorting firms purchased by previously unsuccessful investors results in excess returns of 5 basis points per day. These returns are not confined to small stocks nor to stocks in which the investors are likely to have inside information. Our results suggest that skillful individual investors exploit market inefficiencies to earn abnormal profits, above and beyond any profits available from well-known strategies based upon size, value, or momentum.
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0412005.
Length: 45 pages
Date of creation: 04 Dec 2004
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Individual Investors; Market Efficiency; Performance Persistence;
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- G - Financial Economics
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