本文主要基于传统资本资产定价模型（CAPM，Capital Asset Pricing Model）以及三因素资产定价模型（FF模型）的相关统计分析性质，选取上海股票市场中具有代表性的60支股票以及2007年1月至2012年12月为研究区间，采用BJS法（Black，Jenson，Scholes，1972）、投资组合构造法等对CAPM及FF模型进行实证研究，并且进一步提出更适用于上海股票市场的改进定价模型。研究内容主要包括以下两个部分： 第一，对CAPM及FF模型进行统计性质分析，主要包括CAPM中β值的估计及证券市场线的推导、CAPM及FF模型的最小二乘估计性质、假设检验及回归诊断。 第二，对CAPM及FF模型的实证检验部分。首先采用BJS方法对CAPM进行实证研究，发现上海股票市场不完全符合CAPM理论预期；继而采用投资组合构造法对CAPM及FF模型进行对比实证研究，发现FF模型的适用性优于CAPM，但其仍具有数据依赖性；最后综合考虑公司财务因素、流动性因素以及股票交易因素等影响因素，通过逐步回归法筛选并整合重要影响因素，得到更适合上海股票市场的改进定价模型，该改进定价模型中纳入的影响股票收益率的自变量根据公司的不同规模及不同账面市值比而不同，拥有较好适应性、操作方便、成本较低、模型直观等优点。

Based on the statistical analysis of Capital Asset Pricing Model (CAPM) and Three Factors Asset Pricing Model (FF Model), this paper employs BJS method and portfolio-constructing method for empirical application of CAPM and FF Model, taking 60 representative stocks selected from January, 2007 to December, 2012 in Shanghai stock market. In addition, a modified pricing model that has better applicability in Shanghai stock market is put forward. Research includes following two parts: First, analyze the statistical of CAPM and FF Model, including estimation of β in CAPM, derivation of Security Market Line, the properties of least square estimation of CAPM and FF Model, hypothesis test and regression diagnosis. Second, apply CAPM and FF Model to the empirical study. One is that the empirical application of CAPM using BJS Method, which indicates that Shanghai stock market is inconsistent with the theoretical expectation of CAPM; Another is that the empirical application of CAPM and FF Model using portfolio-Constructing method, which indicates not only the better applicability of FF Model compared to CAPM, but also the data dependency of it. Finally, taking corporate finance factor, liquidity factor and stock exchange factor into account, screen and add efficient factors into pricing model by stepwise regression method aiming to propose a modified pricing model with better applicability in Shanghai stock market. The independent variables of modified pricing model varies by the different size and BM ratio of companies , which has more advantages such as easier operation, lower costs, intuitionistic model and so on.