  We analyze over 2.6 million news articles and propose a novel measure of
aggregate joint news coverage of firms. The measure strongly and negatively
predicts market returns, both in sample and out of sample. The relation is
causal, robust to existing predictors, and is especially strong when market
uncertainty is high or when market frictions are large. Using data on EDGAR
downloads by unique IPs, we provide direct evidence that joint news triggers
attention spillover across firms. Our results are consistent with the
explanation that joint news generates a contagion in investor attention and
causes marketwide overvaluations and subsequent reversals.
