Taking the beta values of stock return and systematic liquidity factor (L)as the proxy for systematic liquidity risk, the systematic liquidity risk and its relation to the stock excess return were studied.  According to the method of FF three-factor model, BM ratio was replaced into the beta value to construct a new three-factor model, in which the market excess return, size and beta were included.  The empirical results show that systematic liquidity risk significantly affects the stock excess return of SSE.  The stocks with the positive betas have positive premium, and those with negative betas have negative premium.