Using the data of 47 single-country exchange-traded funds (ETFs) traded in the U.S. from 36 countries during 2004–2017, this research examines the impact of investor attention proxied by Google Search Volume Index and home country-specific factors on different quantile of their returns. Evidence first shows that compared with U.S. investor attention, home country investor attention largely correlates with low to medium ETF returns, supporting the attention-induced price pressure hypothesis. Second, home country-specific factors significantly affect ETF returns at different conditional quantiles. We also find that investors prefer investing in a country with strong similarity to that of the U.S., supporting the cross-country information asymmetry hypothesis. Third, an intervening effect of home country-specific factors exists on the relationship between U.S. investor attention and ETF returns. These findings should help government authorities find appropriate strategies to attract foreign investment and upgrade the value of their capital market as well as provide a reference on efficiency for equity investors.

利用2004年至2017年期间在36个国家/地区在美国交易的47个单一国家交易所交易基金（ETF）的数据，该研究考察了Google搜索量指数和本国特定因素对不同分位数的投资者关注度的影响他们的回报。证据首先显示，与美国投资者的关注相比，母国投资者的关注很大程度上与中低ETF回报相关，从而支持了关注引起的价格压力假设。其次，在不同条件下，特定于本国的因素会显着影响ETF的回报。我们还发现，投资者更喜欢在与美国具有高度相似性的国家进行投资，从而支持了跨国信息不对称假设。。第三，本国特定因素对美国投资者的关注度与ETF回报之间的关系存在干预作用。这些发现应有助于政府当局找到合适的战略来吸引外国投资并提升其资本市场的价值，并为股权投资者的效率提供参考。