This paper is based on the relative theories of dividend policy, uses the stock transaction data from listed companies of Chinese pharmaceutical industry, then constructing stock dividend and cash dividend portfolios and the composite price index. Thus we do empirical study with the using of CAPM, Sharpe ratio and Jensen index. As a result, the abnormal returns of the two pharmaceutical companies are significantly different，the stock portfolio is significantly superior to the cash, and the longer the holding periods, the more obvious the advantages. And then we put forward the relevant suggestions.