["Abacus, EarlyView. ", "\nWe show that the effects of attention to company information differ from those of attention to movements in market prices. Using new measures based on granular microstructure data, we find that, across various test specifications, only attention to information improves informational efficiency, reducing postannouncement drifts. In contrast, attention to price movements is high in momentum and lottery‐like stocks. Our findings suggest that, in addition to the who and the when, the what is an important factor in determining how investor attention affects prices; attention improves market efficiency only if it is directed towards material news events rather than towards recent price movements.\n"]