The cross-section of speculator skill: Evidence from day trading

Brad Barber, Yi-Tsung Lee, Yu-Jane Liu and Terrance Odean

Journal of Financial Markets, 2014, vol. 18, issue C, 1-24

Abstract: We document economically large cross-sectional differences in the before- and after-fee returns earned by speculative traders by analyzing day traders in Taiwan from 1992 to 2006. We sort day traders based on their returns in year y and analyze their performance in year y+1; the 500 top-ranked day traders go on to earn daily before-fee (after-fee) returns of 61.3 (37.9) bps per day; bottom-ranked day traders go on to earn daily before-fee (after-fee) returns of −11.5 (−28.9)bps per day. Less than 1% of the day trader population is able to predictably and reliably earn positive abnormal returns net of fees.

Keywords: Speculative trading; Day traders; Individual investors; Investor performance (search for similar items in EconPapers)
JEL-codes: D14 G02 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (34)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:18:y:2014:i:c:p:1-24

DOI: 10.1016/j.finmar.2013.05.006

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