Joint News, Attention Spillover,and Stock 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.
Keywords
Cite
@article{arxiv.1703.02715,
title = {Joint News, Attention Spillover,and Stock Returns},
author = {Li Guo and Lin Peng and Yubo Tao and Jun Tu},
journal= {arXiv preprint arXiv:1703.02715},
year = {2025}
}
Comments
77 pages, 3 figures, 19 tables