We show that attention to fundamental information and attention to market prices are distinct constructs that lead to differing outcomes in financial markets. Using new measures for both constructs, we find that only attention to information affects informational efficiency. Attention to information reduces post-announcement drifts, while attention to prices does not. Evidence suggests that behaviorally biased investors drive attention to prices and that momentum and lottery-like stocks attract higher attention to prices. Our results show that, in addition to the when and the who, the what is an important factor in determining how investor attention affects stock prices.