Based on the data of listed companies in China A-share market from 2012 to 2017，and considering the two earnings operation modes of accrued earnings management and real earnings management，this paper empirically analyses the moderating effect of managerial overconfidence on the relationship between earnings management and asset pricing on the basis of improving the measurement method of managerial overconfidence. The results show that managerial overconfidence has a significant negative impact on stock returns； the relationship between accrued earnings management or real earnings management and asset pricing is U-shaped； managerial overconfidence fails to play a moderating role in the relationship between accrued earnings management and asset pricing， while managerial overconfidence significantly negatively moderates the U-shaped relationship between real earnings management and asset pricing. These conclusions expand and deepen the study of asset pricing， which provides empirical evidence for the moderating effect of managerial overconfidence on the relationship between earnings management and asset pricing.