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Joint Attention Spillover Reversal

Updated dailyData needs: lowlong onlyshort onlylong short

2025

Joint News, Attention Spillover, and Stock Returns (2025 draft), arXiv:1703.02715; builds on Da, Engelberg & Gao (2011 JF).

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In plain terms

Decompose a focal ticker's Wikipedia pageview attention spike into shared vs idiosyncratic components by co-movement with its TNIC-peer / sector cohort's pageview spikes on the same days.

How it works

Decompose a focal ticker's Wikipedia pageview attention spike into shared vs idiosyncratic components by co-movement with its TNIC-peer / sector cohort's pageview spikes on the same days. When a spike is largely SHARED (high joint, low idiosyncratic) the next 1-2 week return reverses (diffuse low-precision retail attention overshoots); idiosyncratic firm-specific spikes drift.

Live results

8 times picked on its own · 8 times inside a blend (8 beat the stock) · updated 2026-07-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 8 such blended picks (8 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

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Data dependencies

Wikipedia pageviews
Wikimedia daily pageview counts joined to ticker pages.
Tnic peers
Hoberg-Phillips text-based industry classification peer lists (annual).
Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

Tested over: Modern daily equity data

behavioral premium; decay risk 3/5.

Example tickers where this is likely to fire

SPY AAPL NVDA TSLA

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

Wikipedia Attention ReversalReal-World & Alternative Data

When Wikipedia pageviews for a stock surge in the top 10% of normal weekly moves, retail attention has driven the price up too far. Short the stock for 1-2 weeks as the attention premium fades.

Explore Joint Attention Spillover Reversal on alphactor.ai

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