Abstract: Considering the impact of the β coefficient and book-to-market equity on average return on investment is uncertain, this paper tests the relationship between average return and the two factors of β coefficient and book-to-market equity through sections for the listed companies in A Share SSE from January 1, 2001 to December 31, 2010. Moreover, the situation combined with different market states is also analyzed in this paper. The theoretical basic of the tests is the Fama-MacBeth method. And this paper uses the single-factor model and two-factor model to do the regression analysis. Empirical results indicate that: (1) the interpretive capacity of the relevance of the β coefficient and book-to-market equity on average return is different among different industries; (2) the interpretive capacity of the relevance of the β coefficient and book-to-market equity on average return is impacted significantly by the environment of the bull and bear markets among different industries