Are Monthly Market Returns Predictable

We document significant persistence in the ability of individual investors to time the stock market, including during periods that people describe as bubbles. Using data on all trades by individual Finnish investors over more than 14 years, we show that investors who successfully time the market in the first half of the sample are more likely to successfully time in the second half. We further show that investors who time the market during the run-up and crash around 2000 are more likely to time the run-up and crash around 2008. Our evidence suggests that it is possible to use the trading patterns of these smart investors to anticipate market movements, lending some credibility to the view that market bubbles are identifiable in real time.