One reason for this, they say, is that individuals are overconfident. This causes them to trade too much and thus incur hefty dealing costs, but also to buy poor stocks in the first place. It also causes them to hold too many stocks in the industry they work in or region they live in, in the belief that familiarity with a company yields information on its future returns - a belief that is, on average, wrong.
Another reason is that some aren't investing to make money, but rather for the buzz of gambling. Researchers in Germany have found that people who like a flutter trade shares more often than other people. In Finland, people who have had lots of speeding fines - those who tend to be less careful than others - tend to trade more. And in Taiwan, stock trading fell sharply when the country introduced a national lottery. All this suggests that share trading is, for some, a form of entertainment. And you don't make money from entertaining yourself.
There's another problem. In stock-picking, intelligence isn't much help. Yes, investors with greater cognitive skills outperform others. But the gap is small - no more than 3-4 per cent.
Now, you might reply that all this is true of the average investor, but you're above average.
In itself, such a sentiment is a classic sign of overconfidence - exactly the thing that causes us to lose money.
There is, however, a reason to suspect that many of you might indeed be different. Think of stock-picking as being like an ecosystem in which many creatures are competing for scarce food. At any time it will look as if most animals are dying of starvation. This is what the research sees.
However, a few animals, by luck or superior adaptability, will survive and thrive.
And if you've survived in the past you might continue to do so. Joshua Coval at Harvard Business School and colleagues have found evidence of "strong persistence" in investment performance. They've found that the best 10 per cent of stock-pickers in one three-year period went on to outperform in the next three years. "Some individuals have superior investment skills," they concluded.
If you've been investing for some time you're likely, by definition, to be one of these - because if you weren't you would have given up by now. But this doesn't mean you're typical of everyone who starts stock-picking.
