We specify attentive and inattentive investors in a two period model with a single risky asset． In the market-clearing equilibrium，we find that the more attention investors pay to the relevant information，the lower the risk premium they obtain． We divide the attentive investors into two categories: the investors who are attentive information and those who are attentive to noise，then，we find that the proportion of investors who are attentive to noise plays a vital role in determining the relationship between the attention level and the risk premium．Given more attention paid to the noisy information，the increase in the number of attentive investors tends to raise the risk premium，but the effect turns negative when less attention is paid to the noisy information．We call this“attention classifying hypothesis”． After introducing inattentive investors with rational expectation，we obtain the similar conclusions．