Purpose-The purpose of this paper is to theoretically and empirically explore the effects of attention levels on individual investors’ investment ret.Design/methodology/approach-By introducing the heterogeneous attention,the authors first expand the theoretical model of Barber and Odean.The authors use graphical analysis,univariate analysis,multiple regression analysis and construct a portfolio to carry out an empirical study.Findings-The authors first fmd evidence in support of Barber and Odean’s price pressure hypothesis.By theoretical and empirical study,the authors conclude that attention negatively affects individual investors’ investment ret.Originality/value-By introducing the heterogeneous attention,the paper provides a theoretical basis for empirical study.Baidu abnormal search volume was used as a proxy for individual investors’ attention,and analysts’ neutral ratings were used to empirically verify the theoretical theorem.