We analyze the cross-sectional differences in the performance of individual investors
who engage in day trading in Taiwan. Consistent with prior research on the performance
of individual investors, we document that in aggregate day traders lose money. However,
we find striking evidence that a select few individual investors (less than 1 percent of the
day trading population) are able to consistently earn abnormal profits net of fees. Our
results contribute to the evidence that cross-sectional variation in investor ability is an
important feature of financial markets.   

一本专门讨论日内交易的小小书，30多页，分享。