This paper checks that the arbitrage theory of capital asset pricing is as applicable in Chinese security market as in those of developed countries such as U.S... A regression model is used to make an empirically test by selecting company size, the ratio between market value and book value and the price earning ratio as three influence factors of stock returns, and using panel data on arbitrage pricing models. The results suggest that the three influence factors have no significant influence on stock returns. The effort made to select investment by searching for such information of a company w...