Individual investors outperform the market over a 20 day holding period and that "these patterns are consistent with the idea that risk-averse individuals provide liquidity to meet institutional demand for immediacy." The expected return for an individual investor deteriorates as time horizons get shorter and longer than 20 days, with professional traders dominating individuals at the shorter end and professional investors at the longer.

http://archive.nyu.edu/bitstream/2451/26930/3/CFE-04-04.pdf....