There are many interference factors in the real capital market, such as the ineffectiveness of the capital asset pricing model, and even the negative correlation between the systematic risk and return. Based on the basic theory of behavioral finance, this paper empirically tests the influence mechanism of investors' behavior deviation on a beta anomaly by taking China's A-share listed companies as samples from 2017 to 2020. It is found that both the strategy of buying the winner and the strategy of contrarian investment are positively related to the beta anomaly, that is, the higher the probability of irrational investors adopting these two strategies, the higher the probability of beta anomaly in the A-share market. The research conclusion provides new empirical evidence for understanding the relationship between investor behavior deviation and beta anomaly and also provides a certain reference for relevant departments to monitor market risk.