Can Individual Investors Beat the Market?
研究发现部分个人投资者持续表现出色，其风险调整后年收益约6%，且非内幕交易或流动性驱动，表明他们利用市场无效性获得超额收益。
Abstract We document persistent superior trading performance among a subset of individual investors. Investors classified in the top performance decile in the first half of our sample subsequently earn risk-adjusted returns of about 6% per year. These returns are not confined to stocks in which the investors are likely to have inside information, nor are they driven by illiquid stocks. Our results suggest that skilled individual investors exploit market inefficiencies (or perhaps conditional risk premiums) to earn abnormal profits, above and beyond any profits available from well-known strategies based on size, value, momentum, or earnings announcements. Received: October 11, 2020 Editorial decision: January 4, 2021 Editor: Jeffrey Pontiff