In　China＇s　security　market,　the　target　of　many　investors　who　enter　the　market　is　not　for　the　dividends　but　the　return　of　stock　price　spread　because　of　special　ownership　structure　and　dividend　policy.　Many　investors　have　to　expect　ate　the　price＇s　raising　in　the　future　and　speculation.　In　this　paper,　the　author　discusses　the　influences　of　investors＇　expectation　on　stock,　and　analyzes　the　stochastic　discount　factor　model　(SDF)　to　explain　why　the　stock　price　deviates　from　its　basic　value.　At　last,　the　author　introduces　some　special　investors　characteristics　in　China,　and　expounds　some　connotative　deep　institutional　reasons.