Hendrick Bessembinder (Arizona State) published a study in November 2017 that looked at stock market returns going back to 1926. Here were the key findings:
While it is certainly not impossible to beat the overall market by selecting individual stocks, the data suggests it is an extremely low probability. While it is tempting to believe you (or an advisor) can pick the big winners, the notion is simply contradicted by the research and data available.
The data is from the common stocks listed in the CRSP Database. A link to the full study is here.