Some mutual fund families and reporting services currently report dollar-weighted returns for individual investors and funds. Mr. Dichev’s contribution is to apply this methodology to the stock market as a whole, weighting each month’s return by the amount of money invested in the market during that period.

An investor who bought a value-weighted portfolio of stocks in the New York Stock Exchange and American Stock Exchange in 1926 and held them until 2002 would have earned an average annual return of about 10 percent.

By contrast, an individual who bought in 1926 but moved his dollars in and out of the market in the same pattern as the average dollar invested in the market would have earned a return of only 8.6 percent a year.

For Nasdaq, the difference between buy-and-hold and dollar-weighted returns is even larger. An investor who bought the Nasdaq index in 1973 and sold in 2002 would have earned an average yearly return of 9.6 percent. But the typical investor in Nasdaq earned only 4.3 percent over this period. This is true not just in the United States — the same thing occurred in 18 of 19 international markets that Mr. Dichev examined.

It appears that taken as a whole, investors just aren’t very good at market timing. But why?

There’s an old adage on Wall Street: “Buy on the rumor, sell on the news.” Unfortunately, small investors do not seem to follow this rule. Terrance Odean, a finance professor at the University of California, Berkeley, has found that small individual investors tend to buy stocks when they are mentioned in the media: they buy on the news. The professional and institutional investors are happy to sell to retail investors in such periods.

A recent article in The Financial Analysts Journal by Thomas Arnold, John H. Earl Jr. and David S. North, all finance professors at the University of Richmond, called “Are Cover Stories Effective Contrarian Indicators?” offers an intriguing finding.

The professors look at how a company’s stock responds to a cover story in BusinessWeek, Fortune and Forbes. They find that positive stories follow periods of positive performance and negative stories follow periods of negative performance, which admittedly is not too surprising. More interesting, they also find that the appearance of a cover story tends to signal the end of the abnormal performance. Hence, individuals who trade on such “news” are not likely to do well.