Abstract: The answer to the relationship between price and value of securities is critical to the extension of modern financial theory，and affects the selection of practical operation criteria of capital market. Based on the divergence of traditional financial theory and behavioral finance theory，our paper calculate the deviation between price and value of securities using the residual income model，describe the time-varying path of the deviation，test those causes of the time-varying path，and finally illustrate the formation mechanism of the time-varying path. We find that，the time-varying path of the deviation has obvious cyclical non-linear structure，which attributes to that the time-varying path mainly consists a periodic component and an exogenous impulse component，and the former component determines the basic structure of the path，the later component determines the specific structure of the path. Our theoretical conjecture is that，the financial market would be a mirror of the macroeconomic system，which means that there would be some general characteristics and phenomena of the macroeconomic system in financial market，then behaviors of subjects in financial market following economic cycle and the deviation result in periodic component of the path，and the macro and micro shocks to the macroeconomic system are reasons of exogenous impulse component. Our theoretical conjecture is only inferred from some empirical test，which reflects its lacking of demonstration. So，it would be a smart idea to analysis behaviors of subjects in financial market among states of economy and deviations between price and value of securities from a micro perspective.

Keywords: Deviation between Price and Value of Securities; Time-varying Path; Formation Mechanism; Empirical Test; Theoretical Conjecture