It is assumed in the paper that stock price is determined not only by fundamental uncertainty but also by market nonfundamental ( extraneous) uncertainty and firm idiosyncratic nonfundamental ( extraneous) uncertainty，and the assumption is set that for different kinds of uncertainty different investors hold different kinds of heterogeneous beliefs． Thererhence，a dynamic equilibrium model in the continuous time pure exchange economy is presented． It is found that besides the fundamental uncertainty，market extraneous uncertainty and firm idiosyncratic extraneous uncertainty can also give explanations to expected returns． Furthermore，the model provides another explanation for some anomalies found in equity market，especially for anomaly of idiosyncratic volatility．