“Bulls and bears make money, but pigs get slaughtered” (Wall Street adage)

An old Wall Street saying has it that the bulls can make money and the bears can make money, but the pigs (hogs) always lose. A “pig” or “hog” is someone who wants to make a “killing” in the market—only to get “slaughtered” himself or herself.
 
The Wall Street adage dates to at least 1905.
   
   
24 September 1905, New York (NY) Times, “Topics in Wall Street,” pg. 16:
Instead of reproaching himself he said: “I have seen bears make money down here, and I have seen bulls make money, but I have never known a hog to make any.”
   
18 September 1923, Indianapolis (IN) Star pg. 16, col. 3:
BULLS MAY MAKE MONEY
BEARS MAY MAKE MONEY
BUT HOGS ALWAYS LOSE
(...)
It is a common saying in Wall street that the bulls make money, the bears make money, but the hogs always lose.
 
The hog is the man who tries to get rich quick. A mere 10 per cent or so will not satisfy him. He will always say, “I can’t make any money unless I buy stock on margin because I haven’t enough money to get anywhere.”
 
Consequently he buys too much and has to trade extensively on margin. Sooner or later he is caught and can not pay out. he suffers a large loss and another hog is slaughtered.
 
Why add the risk of margin trading to an already dangerous business?
 
Google Books
No Royal Road
By Edgar A. Custer
Published by H. C. Kinsey & Company, Inc.
1937
Pg. 236:
“Bears make money sometimes, and bulls make money sometimes but hogs never do.”
 
Google Books
The Golden Touch
By Stephen Longstreet
New York, NY: Random House
1941
Pg. 85:
“You know the old Wall Street saying: ‘Sometimes the bulls make money and sometimes the bears. But the pigs— never!’”
   
Google Books
Money of Their Own:
The Great Counterfeiters
By Murray Teigh Bloom
New York, NY: Scribner
1957
Pg. 84:
Bears make money, bulls make money, but hogs never make money, goes the broker’s old anthropomorphic refrain.
     
Google Books
The Wall St. Thesaurus
By Paul Sarnoff
New York, NY: I. Obolensky
1963
Pg. 95:
One of the most popular Wall St. cliches is: “The bulls make money; the bears make money; the hogs lose.”
         
Time magazine
Will the Big Board Leave the Big Town?
Friday, Mar. 25, 1966
“Bulls make money, bears make money, but pigs never do,” goes an old Wall Street saying. 
 
Google Books
The Bernie Cornfeld Story
By Bert Cantor
New York, NY: Lyle Stuart, Inc.
1970
Pg. 287:
“Remember one thing,” he would conclude: “Bulls make money in the market — Bears make money in the market — but Pigs never make money in the market.”
 
Google News Archive
8 August 1975, St Petersburg (FL) Times, pg. 3, col. 5:
Stone said, “There’s an old saying in the stock market: Bulls make money. Bears make money. Pigs get slaughtered.”
   
Google Books
Maxwell Street: Survival in a Bazaar
By Ira Berkow
Garden City, NY: Doubleday
1977
Pg. 218:
There is a favorite saying in the stock market: Bulls make money, bears make money, but pigs never make money.
 
Google Books
The Book of Incomes
By Gerald Krefetz and Philip Gittelman
Published by Holt, Rinehart, and Winston
1981
Pg. 122:
“Bulls make money, bears make money, but pigs get slaughtered” is an old Wall Street saying.
   
27 August 1984, Syracuse (NY) Herald-Journal, pg. D2, col. 4:
There are few old stock market sayings that are as true as the one that says, “Bulls make money and bears make money, but pigs get slaughtered.” 

Google Books
Managing Your Rental House for Increased Income
By Doreen Bierbrier
Published by Bantam Books
1986
Pg. 79:
There is a saying in the stock market that “Bears make money (bear markets), bulls make money (bull markets), and pigs get slaughtered.” 
   
1 March 1990, Rocky Mountain News (Denver, CO):
Another executive puts it this way: ‘‘Bulls make money. Bears make money. Hogs get slaughtered.” 
       
Google Books
Trading for a Living:
Psychology, Trading Tactics, Money Management
By Alexander Elder
Hoboken, NJ: John Wiley and Sons
1993
Pg. 43:
Traders say: “Bulls make money, bears make money, but hogs get slaughtered.” 

Amazon.com
Bulls Make Money, Bears Make Money, Pigs Get Slaughtered:
Wall Street Truisms that Stand the Test of Time (Hardcover)
by Anthony M. Gallea (Author)
Hardcover: 288 pages
Publisher: Prentice Hall Press; 1st edition (January 15, 2002)