There is a pretty interesting article at Morningstar:
about how investors' results in a given fund tend to lag behind the total returns of
the fund, due to poor market-timing related decision making on the typical investor's
part; in other words, the stereotype of the naive investor buying high and selling low,
for largely emotional reasons, seems to be true.
They also found the discrepancy tends to be worst in high-volatility funds and least
(if not non-existent) in blended stock/bond allocation funds.
All in all, it's a strong empirical argument for a discplined buy-and-hold strategy.