We provide a theoretical model in which investor attention affects the cross-section of equity returns. Based on the reaction of three types of investors to market signals, we derive a negative (positive) correlation between the proportion of continuous attentive (new attentive) investors and stock returns. We also provide empirical support for the model by constructing two asset pricing factors that capture both the level and change in investor attention. We assess their ability to explain the cross-section of equity returns in China's stock market. Our attention-augmented models outperform baseline models in explaining a broad range of return anomalies.