The relationship between Efficient Markets Hypothesis (EMH) and Asset Pricing Model (APM) has been much concerned, due to Joint Hypothesis problem. However, it also contributes to confusion in this research field. This paper studies the relation between EMH and APM from following three aspects: Joint Hypothesis Problem existing in the empirical tests of EMH and APM, whether the assumption conditions of APM include EMH or not, whether EMH indicates the yield of risky securities follow the laws of normal distribution. The research shows: there is a logical paradox in Joint Hypothesis Problem, that is test of EMH needs a correct APM, while test of APM must be done in an efficient market; the assumption conditions of APM does include EMH; the normally distributed assumption applied in APM broadly is not the necessary result of EMH hypothesis.