Are Monthly Market Returns Predictable?

Conditional market timing with benchmark investors

Jussi Keppo, Tyler Shumway and Daniel Weagley

The Review of Asset Pricing Studies, 2021, vol. 11, issue 4, 806-836

Abstract: We document significant persistence in the market timing performance of active individual investors, suggesting that some investors are skilled at timing. Using data on all trades by active Finnish individual investors over almost 15 years, we also show that the net purchases of skilled versus unskilled investors predict monthly market returns. Our results lend credibility to the view that market returns are predictable, without having to specify which variables active investors use to successfully time the market. (JEL G10, G11, G12, G14, G15).

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:oup:rasset:v:11:y:2021:i:4:p:806-836.

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