With the monthly stock returns data , price data , market value data , and corporate financial data from July 1995 to June 2000 in the Shanghai Stock Exchange , by using Fama2Macbeth regression and dynamic portfolio approach , many factors are studied to determine if they have effects on average stock returns. The size effect , book2 to2market effect , E/ P ratio effect , and price effect are found to be obvious in the SSE. It is also found that these factor effects have close correlations , beta values can not explain these effects , and three2factor model of Fama2 French’s can’t explain these effects also. But an E/ P ratio factor added to the three2factor model can explain these effects quite well