Sejong University team finds link between retail investor attention, lower stock returns
A research team at Sejong University has found that stocks attracting greater attention from retail investors tend to generate lower returns in subsequent periods. The university said the findings were published last month in the prestigious Journal of International Financial Markets, Institutions & Money. The team was led by Lee Eun-mi, a professor at the university’s College of Business and…
A research team from Sejong University discovered a connection between retail investors' attention and reduced stock returns. The study, published in the esteemed Journal of International Financial Markets, Institutions & Money last month, was led by Professor Lee Eun-mi of the university's College of Business and Economics. The team comprised doctoral students Yang Pujian and Yang Liu, with Yang Pujian serving as the first author and Lee as the corresponding author.
The paper, named "The Retreat of Arbitrage Capital: Attention Level and Nonlinear Order Flow Dynamics," highlights the impact of retail investor attention on institutional trading behavior and stock market returns.
To investigate this relationship, the researchers examined data from China's A-share market from 2012 to 2024. They utilized the Search Volume Index (SVI), provided by Baidu, China's leading search engine, to gauge investor attention. The analysis revealed that stocks drawing more attention from retail investors tend to generate lower returns in the following periods.
Written by urgent.news from The Korea Times's reporting — not their text. Machine-written — may contain errors; check the original before relying on it.
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