Are Monthly Market Returns Predictable?

Authors

• Jussi Keppo, National University of Singapore
• Tyler Shumway, Brigham Young University - ProvoFollow
• Daniel Weagley, Georgia Institute of Technology

Keywords

market timing, return predictability, bubbles, market crashes

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.

Original Publication Citation

Are Monthly Market Returns Predictable? 2021, with Jussi Keppo and Daniel Weagley, Review of Asset Pricing Studies

BYU ScholarsArchive Citation

Keppo, Jussi; Shumway, Tyler; and Weagley, Daniel, "Are Monthly Market Returns Predictable?" (2021). Faculty Publications. 9276.
https://scholarsarchive.byu.edu/facpub/9276

Document Type

Peer-Reviewed Article

Publication Date

2021

Publisher

Review of Asset Pricing Studies

Language

English

College

Marriott School of Business

Department

Finance

University Standing at Time of Publication

Full Professor

Copyright Use Information

https://lib.byu.edu/about/copyright/