# Joint News, Attention Spillover,and Stock Returns

## TL;DR

This paper investigates how joint news coverage causes attention spillovers among stocks, leading to temporary overvaluation and influencing market returns, with evidence from news data, SEC visits, and search activity.

## Contribution

It provides novel empirical evidence linking joint news coverage to attention contagion, stock overvaluation, and market return predictability, highlighting the role of attention spillovers in financial markets.

## Key findings

- Joint news coverage triggers attention contagion and temporary stock overvaluation.
- Attention spillovers are evidenced by SEC EDGAR visit data and increased search activity.
- Aggregated joint news coverage negatively predicts future market returns.

## Abstract

Analyzing a comprehensive news dataset, we document that joint news coverage triggers attention contagion, causing temporarily inflated valuations for affected stocks. Tracing SEC EDGAR visits from unique IPs, we provide direct evidence of attention spillovers between stocks. Stocks with greater joint news coverage exhibit increased Google search activity, higher contemporaneous returns, and subsequent reversals. Notably, aggregated joint news coverage strongly and negatively predicts future market returns. This relationship holds out-of-sample, persists after controlling for existing predictors and fundamental linkages, and intensifies during periods of heightened uncertainty or significant market frictions. Our findings indicate that attention contagion contributes to marketwide overvaluations.