The 47th Frontier Forum for Digital Technology and Finance

Abstract：

This study investigates the impact of limited attention from different types of investors in the context of return predictability between firms with a customer-supplier relationship, a collection of firms accounting for roughly 58.4% of the market capitalization of the US equity market. We fail to find a significant impact from the attention of institutional investors after controlling for retail attention, in contrast to the consensus in the literature which identifies institutional attention as instrumental. This result suggests a diminished role for the attention of institutional investors, or at least casts doubt on available measures of institutional attention. Finally, we find that the impact from heightened retail investor attention on return predictability is associated with the firm’s local retail investors not nonlocal retail investors, suggesting that it is local, presumably informed retail attention which facilitates information incorporation into asset prices. These findings also indicate that retail investors’ active involvement in the financial market helps enhance market efficiency, in at least some contexts.

Speaker Introduction：

Xinyao (Joseph) Zhou is an Assistant Professor of Finance (Tenure Track) at Ontario Tech University, specializing in empirical asset pricing, behavioral finance, and financial econometrics. He holds a Ph.D. from York University and has published in Management Science and the Journal of Forecasting. With industry experience at Unilever (China), he has secured research grants and received academic awards like the Ontario Graduate Scholarship. His current work explores investor attention, social interaction, and market dynamics.