Can individual investors beat the market?
By: Joshua D. Coval, David Hirshleifer, Tyler Shumway
Contributors: Hirshleifer, David, 1958-; Shumway, Tyler; Harvard Business School. Division of Research
Series: Working paper / Division of Research, Harvard Business School -- 04-025; Working paper (Harvard Business School. Division of Research) -- 04-025
Publisher: Division of Research, Harvard Business School
Published: 2003
Place of publication: Boston]
Language: eng
Number of pages: 27
Description: We 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.
Notes: "December 2002"--Added t.p.

Includes bibliographical references.