Finance Professor has a great link up here which talks about a new study by Ken French that argues that investors collectively spend $100bn trying to beat the market (and collectively failing). The original article is from Mark Hulbert's column on the NYTimes.
This is great stuff and pretty profound really. Fans on indexing should rejoice and can act smug in front of day traders!!! Of course active investors will argue that it doesn't apply to them - for an example see here.
For those of us who buy in to the idea of indexing, this study is not really a surprise, although I have to admit the dollar amount is pretty big!