This paper identifies the marginal investors in China’s stock market and examines their impact on stock pricing. To clearly distinguish between the equity constraint channel and the debt constraint channel, we construct the capital ratio factor and the debt constraint factor for banks and securities companies, the two most critical financial intermediaries in China’s stock market. Our results demonstrate that banks indeed serve as marginal investors and influence stock market efficiency primarily through the equity capital constraint channel. Furthermore, we find that the bank capital ratio factor significantly explains stock mispricing in China, with the single-factor model based on bank equity capital producing substantially smaller pricing errors compared to traditional multi-factor models.