Can Individual Investors Beat the Market?

Joshua D Coval, David Hirshleifer and Tyler Shumway

The Review of Asset Pricing Studies, 2021, vol. 11, issue 3, 552-579

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. (JEL G11, G14, G40, G51)Received: October 11, 2020 Editorial decision: January 4, 2021 Editor: Jeffrey Pontiff

JEL-codes: G11 G14 G40 G51 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (4)

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Working Paper: Can Individual Investors Beat the Market? (2004)
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