...Eun Jung Lee; Yu Kyung Lee; Joon Chae In this paper, we analyze the effect of investor attention level on expected return in the Korean stock market by investor type. We find that the risk-adjusted excess returns in the next period are significantly higher when the institutional and foreign...

...Seung Hyun Oh; Sang Buhm Hahn Grinblatt and Han (2005) argued that unrealized capital gains and expected returns are positively related in the U.S. stock markets. This study investigates the possibility of developing investment strategies for stock index futures using the positive relation. Probing...