Compared with monthly average yield rate and standard diviation of all-ordinaries Index, We can find out these information: the risk of all-ordinaries index is 3.01%, the monthly average yield rate of all-ordinaries index is 1.1%,the risk of CBA’s stock is less, it is 3.32%, the BXB’s risk is greater, it is 4.94%, the risk of AACL’s stock is the greatest, it is 11%; the monthly average yield rate of CBA’s stock is the highest, BXB’s is in the middle, while AACL’s monthly average yield rate is the lowest, that means it has slid into loss. So the three stocks we chosen in this paper do not conform to the principle that return is proportional to risk. The yield rate of CBA is the highest while its risk is less than BXB. On the other hand, the risk of AACL is the greatest while its yield rate is in loss. This paper preliminary proves that CAPM model is failed in the application of these three stocks.