Trading can be dangerous to your wealth. Especially a lot of trading. In this report, Brad M. Barber, at UC Davis, and Terrance Odean, at UC Berkeley, examine why traders so often fail. 

Barber and Odean ask whether frequent trading brings sudden riches to real investors as it often does to fictional characters. They analyze trading records of thousands of investors in the U.S., and all trading records of investors in Taiwan. The records reveal that traders typically over-trade and lose money. The chart below shows that investors with the highest turnover of positions had the lowest annual performance. Why, they ask? Over-confidence plays a large part in this maladaptive behavior. Read the full research report for more.  

(Chart: Brad M. Barber and Terrance Odean, “Trading is Hazardous to Your Wealth: the Common Stock Investment Performance of Individual Investors,” Journal of Finance, Vol. 55, no.2, pp. 773-806, April 2000.) 

Source: http://www.safalniveshak.com/wp-content/uploads/2012/07/Why-Do-Investors-Trade-Too-Much.pdf