As the stock market plays an important role in the global economy and Chinese economy become progressively significant part of the world economy, we are interested in the Chinese stock market. After we compared the methods on the stock market, we choose to use the CAPM and the APT model on Chinese stock market. As a lot papers study on the Main Board of Chinese stock market, we pay our attention on the SME Board and the ChiNext Board of Chinese stock market. We put the samples from the SME Board and the ChiNext Board into the regression models which are based on the CAPM and the APT model, and then we can use the regression models to forecast the long returns. Comparing the forecast ln returns with the true ln returns, we may find that the CAMP or the APT model can forecast better on the SME Board and the ChiNext Board. The systematic risk is the only factor we put the regression model based on the CAPM. For the regression model based on the APT model, we use three factors which are the systematic risk, daily exchange volume and the volatility. Our results show that the APT model can explain factors better than the CAPM for the samples from the SME Board and the ChiNext Board. On the other hand, we could not find evidence that the APT Model can forecast better than the CAPM for the SME Board and the ChiNext Board.