Most existing studies separately investigate the direct correlations between media attention /investor attention and stock returns，which cause some inconsistent results． To further investigate the relationship among media attention，investor attention and stock price，agenda-setting theory is introduced into the study．With stocks of financial sector shares in China as the research sample，we retrieved media attention and investor attention data by the world＇s largest Chinese search engine and established a panel model．A pretest of simple correlations analysis predicts that the amount of media attention is negatively correlated with the stock return and the amount of investor attention is positively correlated with the stock return．However，after introducing the interaction term between media attention and investor attention，the negative impact of media attention is unstable( vanishes) ，and the influence of media attention on the current stock returns is weaker than the influence of investor attention on the stock returns．Moreover，we found a significant and positive moderate effect of media attention on the relationship of investor attention and stock returns．The results indicate that investor attention and the consequent investment behavior is the direct motive force for the changes in stock returns， meanwhile the media plays an important role in amplifying the effect of investors’attention on stock returns．