> We document that a portfolio that mimics the purchases of U.S. Senators beats the market by 85 basis points per month, while a port- folio that mimics the sales of Senators lags the market by 12 basis points per month. The large difference in the returns of stocks bought and sold (nearly one percentage point per month) is economically large and reliably positive.

https://projects.iq.harvard.edu/files/gov2126/files/ziobrows...