Open AccessAre Monthly Market Returns Predictable?
Author(s) -
Jussi Keppo,
Tyler Shumway,
Daniel Weagley
Publication year - 2021
Publication title -
the review of asset pricing studies
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 4.356
H-Index - 19
eISSN - 2045-9939
pISSN - 2045-9920
DOI - 10.1093/rapstu/raab010
Subject(s) - market timing , credibility , economics , monetary economics , persistence (discontinuity) , business , financial economics , initial public offering , geotechnical engineering , political science , law , engineering
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).