In　order　to　distinguish　the　different　influence　of　investors＇　sentiment　on　stock　return　and　its　volatility,　the　states　of　stock　market　are　divided　to　bull　market　and　bear　market,　and　the　noise　trade　model　of　Delong,　Shleifer,　Summers　and　Waldmann　is　expanded.　Based　on　the　expanded　model,　the　influence　of　investors＇　sentiment　on　stock　return　and　its　volatility　under　the　different　stock　market　states　is　discussed.　The　results　show　that　when　the　heterogeneous　noise　traders　have　misperception　of　assets　higher　than　the　average　level,　their　behaviors　will　push　the　stock　prices　to　deviate　from　stock　fundamental　values;　moreover,　optimistic　noise　traders＇　behavior　will　make　the　asset　prices　deviate　further;　and　as　long　as　the　misperception　of　optimistic　noise　trader　biased　further　than　pessimistic　noise　trader＇s,　the　price　of　risky　assets　will　fluctuated　significantly,　then　the　optimistic　noise　traders　will　get　excess　returns　while　the　expected　returns　of　pessimistic　noise　traders　will　become　less　and　the　risk　of　pessimistic　noise　traders　will　increase.　These　results　provide　theoretical　reference　for　investors　to　invest　rationally　under　the　different　stock　market　states.