The capital asset pricing model (CAPM) performs poorly empirically, as market risk (beta) is weakly related to average excess returns. In low news periods, iden tified using idiosyncratic news from the Dow Jones Newswire, market betas have a strong and positive relation with average returns. Higher beta firms earn lower returns to idiosyncratic news, and individual firm betas are consistently lower on days with idiosyncratic news. Consistent with an attention-based mechanism, the beta-return relation is positive when attention to market-wide idiosyncratic news is low relative to macroeconomic attention, and reverses when idiosyncratic attention is high. Hybrid “betting-against-beta” trading strategies exploiting these periods earn high returns. I conclude that waves of high aggregate idiosyncratic news obscure the performance of the CAPM at the firm level and significantly influence asset pricing.