Through the investigation to variables of β, size, book-to-market ratio, leverage, earning-to-price ratio and share turnover ratio, the study based on Fama-Macbeth model try to find out their relationship with stock return. By using the data of Shenzhen stock market from July 2014 to June 2019, the regressions show both similar and divergent outcomes to previous studies. β known as risk indicator seems to has no relation with average stock return while size, book-to-market ratio, leverage variables, earning-to-price ratio and share turnover ratio has strong relation with stock average return. Among that, size, total assets to book equity ratio and share turnover ratio are positively related to return, while book-to-market ratio, total assets to market equity ratio and positive earning-to-price ratio are negatively related to stock returns. Key words: β, size, BE/ME, leverage, E/P ratio, share turnover ratio, stock return