Media news is a proxy for attention from the information supply side, and the Google search is a proxy for attention from the information demand side. I show that that the attention has the biggest impact on financial markets when the supply side attention and demand side attention move in the same direction. A portfolio of buying stocks with both attentions up and short-selling stocks with both down generates 17% annual abnormal returns. The finding indicates that media is important to financial market only when the investors are willing to be affected. Furthermore, the attention measure is less subject to the estimation bias.

Keywords: Stock returns, Information Supply and Demand, Estimation Bias, Media, Google, News, Search Volume, Awareness, Learning

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