Modeling what makes an advertisement persuasive, i.e., eliciting the desired response from consumer, is critical to the study of propaganda, social psychology, and marketing. Despite its importance, computational modeling of persuasion in computer vision is still in its infancy, primarily due to the lack of benchmark datasets that can provide persuasion-strategy labels associated with ads. Motivated by persuasion literature in social psychology and marketing, we introduce an extensive vocabulary of persuasion strategies and build the first ad image corpus annotated with persuasion strategies. We then formulate the task of persuasion strategy prediction with multi-modal learning, where we design a multi-task attention fusion model that can leverage other ad-understanding tasks to predict persuasion strategies. The dataset also provides image segmentation masks, which labels persuasion strategies in the corresponding ad images on the test split. We publicly release our code and dataset at https://midas-research.github.io/persuasion-advertisements/.