Abstract: Limited attention and anchored effect are important financial visions.Based on shares of CSI 300 Index, this paper empirically studies the relationship between limited attention, psychological anchors and expected stock returns by constructing momentum portfolio and panel model. we find that, owing to limited attention, investors behave lack of response to the psychology anchor which is either "52-week highest price" or "historical highest price". We also find that, owing to lack of response, nearness to the two anchors all positively predict future stock returns, and the impact is the highest in bull market. The conclusion is confirmed by the results of Monte Carlo Simulation.

Key words: Limited Attention psychological Anchors, Stock Returns, Monte Carlo Simulation