This paper establishes an asset pricing model considering consumption and investor sentiment factors based on current research literature. Then the data of A-share listed companies in China, as well as the data of consumption and investor sentiment, from May 2005 to April 2018, is selected to empirically test and comparatively analyze our new model considering consumption and investor sentiment factors, CAPM, Fama-French three-factor model and five-factor model. The results show that the introduction of consumption and investor sentiment factors in asset pricing model can rationally modify and expand CAPM, Fama-French three-factor and five-factor models in theory. Moreover, in terms of overall pricing efficiency, using consumption and investor sentiment factors to replace the scale and book-to-market ratio factors in the Fama-French three-factor model, and the profit and investment factors in the Fama-French five-factor model, respectively, can improve asset pricing efficiency. Considering consumption and investor sentiment factors, the profit and investment factors in Fama-French five-factor model can no longer improve the efficiency of asset pricing. Our asset pricing model based on consumption and investor sentiment factors improves the asset pricing efficiency of the Fama-French models, enriches and improves the asset pricing theory to a certain extent.