Does stock picking work? Does stock picking work? Why/why not? What does the research say about it?

(I was expecting that this should already have been asked and looked quite extensively for such a question but couldn't find anything)
In general, stock picking does not work. 

For more information, see this keynote address by Daniel Kahneman, who found that stock-pickers perform worse than chance when they change stocks: https://forum.amundi.com/the-psychology-of-investors-the-cost-of-ideas/

Here is another reference on the subject:


  Abstract
  
  Is expertise portable across closely related domains? We investigate this question empirically using a unique dataset of market
  experts---institutional investors with portfolios averaging $573
  million. A striking finding emerges: while there is clear evidence of
  skill in buying, the investors' selling decisions underperform
  substantially--even relative to random selling strategies. This holds
  despite the similarity between the two decisions in frequency,
  substance and consequences for portfolio performance. We present
  evidence that an asymmetric allocation of cognitive resources such as
  attention can explain the discrepancy: investors are prone to a
  systematic, costly heuristic process when selling but not when
  buying.
  
  Akepanidtaworn, Klakow and Di Mascio, Rick and Imas, Alex and Schmidt, Lawrence, Selling Fast and Buying Slow: Heuristics and Trading Performance of Institutional Investors (May 8, 2019). http://dx.doi.org/10.2139/ssrn.3301277