Abstract: We study the cross-sectional expected stock returns and test the Fama-French three factors model in A shares of Shanghai and Shenzhen Stock Exchange.The empirical findings confirm the size effect and book-equity to market equity effect.Fama-French three factors model can capture the common variation of cross-sectional expected stock returns,but fails to account for the momentum and contrarian effects.

Key words: size effect, BE/ME effect, Fama-French three factors model