{"id":12892,"date":"2026-11-01T06:05:12","date_gmt":"2026-11-01T06:05:12","guid":{"rendered":"https:\/\/sotnews.agency\/?p=12892"},"modified":"2026-11-01T06:05:12","modified_gmt":"2026-11-01T06:05:12","slug":"sejong-university-team-finds-link-between-retail-investor-attention-lower-stock-returns","status":"publish","type":"post","link":"https:\/\/sotnews.agency\/?p=12892","title":{"rendered":"Sejong University team finds link between retail investor attention, lower stock returns"},"content":{"rendered":"
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From left are Lee Eun-mi, a professor at Sejong University\u2019s College of Business and Economics, and doctoral students Yang Pujian and Yang Liu. Courtesy of Sejong University<\/p>\n<\/figcaption><\/figure>\n

A research team at Sejong University has found that stocks attracting greater attention from retail investors tend to generate lower returns in subsequent periods.<\/p>\n

The university said the findings were published last month in the prestigious Journal of International Financial Markets, Institutions & Money.<\/p>\n

The team was led by Lee Eun-mi, a professor at the university\u2019s College of Business and Economics, and included doctoral students Yang Pujian and Yang Liu.<\/p>\n

The paper, titled \u201cThe Retreat of Arbitrage Capital: Attention Level and Nonlinear Order Flow Dynamics,\u201d lists Yang Pujian as the first author, Lee as the corresponding author and Yang Liu as a co-author.<\/p>\n

The research team examined how retail investor attention affects institutional trading behavior and stock market returns.<\/p>\n

The researchers analyzed data from China\u2019s A-share market spanning 2012 to 2024 and measured investor attention using the Search Volume Index (SVI) provided by Baidu, China\u2019s leading search engine.<\/p>\n

The analysis found that stocks attracting greater investor attention tend to generate relatively lower returns over the subsequent one to 12 months.<\/p>\n

In particular, increased attention from individual investors was found to intensify buying pressure, while institutional investors helped correct price imbalances by trading in the opposite direction.<\/p>\n

However, the study also found that institutional investors\u2019 arbitrage activities weakened when investor attention became excessively high, revealing a nonlinear relationship.<\/p>\n

This suggests that while institutional investors play a role in correcting market price imbalances, their ability to perform this function may be constrained when individual investor attention exceeds a certain threshold.<\/p>\n

The study provides empirical evidence of how institutional investors\u2019 trading behavior and arbitrage activities change depending on the level of investor attention.<\/p>\n

By exploring the nonlinear relationship between arbitrage constraints and liquidity provision, which has not been fully examined in previous research, the study contributes to a better understanding of price formation in financial markets and the limitations of arbitrage.<\/p>\n

Meanwhile, Yang Liu recently published a paper in the Journal of Behavioral and Experimental Finance, bringing the number of papers Lee\u2019s research team has published in international academic journals this year to two.<\/p>\n

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From left are Lee Eun-mi, a professor at Sejong University\u2019s College of Business and Economics, and doctoral students Yang Pujian and Yang Liu. Courtesy of Sejong University 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…<\/p>\n","protected":false},"author":1,"featured_media":12893,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"rop_custom_images_group":[],"rop_custom_messages_group":[],"rop_publish_now":"initial","rop_publish_now_accounts":{"facebook_2277560469115098_106292521332774":"","twitter_aToxNzczMzI3Njk4OTg4ODUxMjAxOw==_1773327698988851200":""},"rop_publish_now_history":[],"rop_publish_now_status":"pending","_monsterinsights_skip_tracking":false,"_templately_pack_id":"","_templately_imported_at":"","_templately_source":"","_templately_import_session_id":"","footnotes":""},"categories":[16],"tags":[],"class_list":["post-12892","post","type-post","status-publish","format-standard","has-post-thumbnail","category-korea"],"aioseo_notices":[],"aioseo_head":"\n\t\t\n\t\n\t\n\t\n\t\n\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t