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 Economics, and included doctoral students Yang Pujian and Yang Liu. The paper, titled “The Retreat of Arbitrage Capital: Attention Level and Nonlinear Order Flow Dynamics,” lists Yang Pujian as the first author, Lee as the corresponding author and Yang Liu as a co-author. The research team examined how retail investor attention affects institutional trading behavior and stock market returns. The researchers analyzed data from China’s A-share market spanning 2012 to 2024 and measured investor attention using the Search Volume Index (SVI) provided by Baidu, China’s leading search engine. The analysis found that stocks attracting greater investor attention tend to generate relatively lower retu