In this paper conclusion of Koopman et al(2002) has been tested using SV-m model.Then,SV-m model is extended and A-SV-m model is proposed,which can catch asymmetry information effect.Boot the old SV-m model and A-SV-m model are used in empirical studies on the relationship between expected returns and volatility.Results are different from Koopman's conclusion and show that the relationship between expected returns and volatility is time varying,and the effect the volatility has on the expected retruns is in...