It would be interesting to compare a large sampling of active investors' portfolios against those of hands-off investors who put everything into index funds over the long term.
Would the active investors' portfolio value be significantly higher enough to justify the huge time investment required? Remember that all the time you put into trading stocks comes with an opportunity cost: http://www.thesimpledollar.com/2009/06/15/the-time-cost-of-investing-does-obliviousness-pay-off/
-- Let me tell you a story about why I believe anecdotal evidence. --