We propose a spatial model to take economic links into an account in dependence modeling. The contiguity matrix helps incorporate theoretical implications and other economic sources of data in the analysis of multivariate scale models. In particular, we study the channel of investor attention in generating comovement between companies. We proxy for investor attention by having built a web crawler to gather information about retail investors clicks on the Yahoo Finance portal. The attention network displays a core-periphery structure. We find strong clustering effects both in Yahoo finance data and in stock market correlations. We use a conditional factor model to account for time-varying levels in correlations. Having accounted for the levels, the significant correlations among the S&P 500 have a sparse structure. We model the remaining sparsity pattern by industry classification and attention links. We find that investor attention accounts for variation beyond the explanatory power of industry classification links. Field: econometrics.