{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,20]],"date-time":"2026-10-20T16:47:33Z","timestamp":1792514853492,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":44,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>The Capital Asset Pricing Model (CAPM) is rejected empirically because market beta is weakly related to average returns. Using idiosyncratic news from the Dow Jones Newswire and institutional attention measures from Bloomberg search activity, I isolate states in which market-wide attention is focused on publicly available idiosyncratic news. In these states, the CAPM prices risk. Market betas explain the cross section of stock returns, and the security market line is steep and positive. In contrast, when attention is elevated but not well explained by idiosyncratic news, the beta-return relation flattens. To rationalize these findings, I develop a noisy rational expectations model in which investors choose between concentrating limited attention on noisy idiosyncratic signals or dispersing it towards broader market level learning. Because attention to idiosyncratic news crowds out private learning about systematic conditions, greater attention to idiosyncratic information increases posterior factor uncertainty. Investors require compensation for bearing this uncertainty, generating a higher equilibrium factor risk premium and a steeper security market line.&amp;nbsp;<\/jats:p>","DOI":"10.2139\/ssrn.7534938","type":"posted-content","created":{"date-parts":[[2026,9,28]],"date-time":"2026-09-28T14:55:34Z","timestamp":1790607334000},"source":"Crossref","is-referenced-by-count":0,"title":["Looking Away from the Market"],"prefix":"10.2139","author":[{"given":"Adam","family":"Upenieks","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"issue":"3","key":"ref1","doi-asserted-by":"crossref","first-page":"629","DOI":"10.2307\/1911659","article-title":"A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets","volume":"53","author":"Anat R Admati","year":"1985","journal-title":"Econometrica"},{"key":"ref2","doi-asserted-by":"crossref","DOI":"10.3386\/w32746","author":"A\u00eft-Sahalia","year":"2024","journal-title":"So Many Jumps, So Few News"},{"issue":"2","key":"ref3","doi-asserted-by":"crossref","first-page":"179","DOI":"10.1016\/j.jfineco.2023.05.003","article-title":"Economic Uncertainty and Investor Attention","volume":"149","author":"Daniel Andrei","year":"2023","journal-title":"Journal of Financial Economics"},{"issue":"4","key":"ref4","doi-asserted-by":"crossref","first-page":"1645","DOI":"10.1111\/j.1540-6261.2006.00885.x","article-title":"Investor sentiment and the cross-section of stock returns","volume":"61","author":"Malcolm Baker","year":"2006","journal-title":"Journal of Finance"},{"issue":"4","key":"ref5","doi-asserted-by":"crossref","first-page":"1593","DOI":"10.1093\/qje\/qjw024","article-title":"Measuring economic policy uncertainty","volume":"131","author":"Scott R Baker","year":"2016","journal-title":"Quarterly Journal of Economics"},{"issue":"1","key":"ref6","doi-asserted-by":"crossref","first-page":"357","DOI":"10.1111\/jofi.12975","article-title":"Information Consumption and Asset Pricing","volume":"76","author":"Ben-Rephael","year":"2021","journal-title":"The Journal of Finance"},{"issue":"9","key":"ref7","doi-asserted-by":"crossref","first-page":"3009","DOI":"10.1093\/rfs\/hhx031","article-title":"It depends on where you search: Institutional investor attention and underreaction to news","volume":"30","author":"Ben-Rephael","year":"2017","journal-title":"The Review of Financial Studies"},{"issue":"1","key":"ref8","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1016\/j.jfineco.2015.08.010","article-title":"Assessing Asset Pricing Models Using Revealed Preference","volume":"119","author":"Jonathan B Berk","year":"2016","journal-title":"Journal of Financial Economics"},{"key":"ref9","first-page":"25","volume":"73","author":"Jonathan B Berk","year":"2017","journal-title":"How Do Investors Compute the Discount Rate? 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