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Conventionally, CAPM model is widely used to estimate the value of securities, but it is not efficient in Chinese securities market due to the non-systematic risk. Therefore, this paper aims to analyze the development of CAPM multi-factor model and multi-effect Asset pricing (e.g., the Fama French multi-factorial model). Primarily, this paper introduces the background and function of CAPM model. Afterwards, it is pointed out that more factors need to be considered to improve the performance of CAPM model. Therefore, Fama-French models of three-factor and five-factor are demonstrated. The paper analyses the evolution of CAPM multi-factor models and indicates that the CAPM model is unable to well explain the long-run premiums of small-size company stocks in Chinese market. Finally, the paper discusses the limitation of this research and look forward the further research. These results shed light on the future development of financial pricing models.