Are Monthly Market Returns Predictable?

39 Pages Posted: 11 Jul 2014 Last revised: 15 Jan 2020

See all articles by Jussi Keppo

Jussi Keppo

National University of Singapore - NUS Business School

Tyler Shumway

University of Michigan at Ann Arbor, The Stephen M. Ross School of Business

Daniel Weagley

Georgia Institute of Technology - Scheller College of Business

Date Written: January 14, 2020

Abstract

We document significant persistence in the market timing performance of active individual investors, suggesting some investors are skilled at timing. We also show that the net purchases of skilled versus unskilled active investors predict monthly market returns. Our tests use data on all trades by active Finnish individual investors over 14.5 years. Our evidence suggests that it is possible to use the trading patterns of skilled investors to anticipate market movements, lending credibility to the view that market returns are somewhat predictable.

Keywords: Market timing, return predictability, bubbles, market crashes

JEL Classification: G10, G11, G12, G14, G15

Suggested Citation

Keppo, Jussi and Shumway, Tyler and Weagley, Daniel, Are Monthly Market Returns Predictable? (January 14, 2020). Georgia Tech Scheller College of Business Research Paper No. 2015-12, Available at SSRN: https://ssrn.com/abstract=2463884 or http://dx.doi.org/10.2139/ssrn.2463884

Jussi Keppo

National University of Singapore - NUS Business School ( email )

1 Business Link
Singapore, 117592
Singapore

Tyler Shumway

University of Michigan at Ann Arbor, The Stephen M. Ross School of Business ( email )

701 Tappan Street
Ann Arbor, MI MI 48109
United States
734-763-4129 (Phone)
734-936-0274 (Fax)

HOME PAGE: http://www.umich.edu/~shumway

Daniel Weagley (Contact Author)

Georgia Institute of Technology - Scheller College of Business ( email )

800 West Peachtree St.
Atlanta, GA 30308
United States
(404) 385-3015 (Phone)

HOME PAGE: http://www.danielweagley.com

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
739
Abstract Views
4,618
rank
36,495
PlumX Metrics