本文通过分析西方主流资产定价理论——新古典主义资产定价理论——的产生和发展过程,对西方资产定价理论的理论逻辑和发展脉络进行简要的梳理,并在此基础上,结合发展中金融市场所存在的利率刚性、市场分割等因素,对新古典主义资产定价理论与发展中金融市场相结合时出现的异常现象进行了分析。从市场参与者行为的变化出发,对发展中金融市场上价格机制的“异化”现象提出初步解释。 By analyzing the emergence and development of the mainstream pricing theory in the West, the theory of asset pricing in the neoclassical style, this paper briefly reviews the theoretical logic and development of the western asset pricing theory. On this basis, The factors such as the rigidity of interest rate and the market segmentation exist in the market analyzed the anomalies that occurred when the neoclassical asset pricing theory was combined with the developing financial market. Starting from the changes of the behavior of market participants, this paper gives a preliminary explanation of the “alienation” of price mechanism in developing financial markets.