The relationship between the risk and return of the Shanghai Security Exchange(SHSE) A-share market is examined. Using the behavioral portfolio model of Shefrin and Statman, the key influential factors of the expected cross-sectional returns in the SHSE A-share market are explored. The empirical model reflects the unique return influential factors based on behavioral portfolio. With the SHSE A-share 418 listed firms (from February 2000 to June 2004) as sample, empirical results show a significant negative correlation between risk and return, which are subject to the real market behavior instead of the studies based on standard finance models.