The three-factor Model,established by Fama and French, is considered to describe cross-sectional stock returns better than CAPM.On the basis of newest 96 month stock data from 01/ 1996 to 12/2003,the three-factor model was researched and tested.It was found that the model is suitable for Chinese Stock Market.Then the coefficient stability and the forecast ability of the model were studied and the so-called'new-year effect'tested.It was drawn the conclusions that the m/L and b/L portfolios have the'January effect' and the m/M portfolio has the 'February effect'.Our researches provided some bases for the selection,forecast,and decision of investment portfolios.