Along with the increasing demand of the fair value in our country, in January 2014, the Ministry of Finance issued the “Accounting Standards for Enterprises No.39 Fair Value Measurement” (CAS 39), which realized the substantive convergence of the international fair value measurement standards. In this context, we test the effect of the implementation of CAS 39 in the current market environment of China. The results indicate that: (1) Investors gave positive response to the implementation of the new guideline in China’s capital market, which shows hierarchical disclosure enhanced investors’confidence in fair value; (2) The implementation of CAS 39 improved the value relevance of fair value assets, but didn’t improve the value relevance of fair value liabilities. The reason may be that the proportion of fair value liability items is too small to make the stock price be sensitive to its change; (3) Specifically, for fair value assets, investors choose to believe in the first and second levels, but not trust the third level. And the value relevance of the first level fair value assets is not significantly higher than the level of the second; for the fair value of liabilities, the three levels are not related to stock price, which means, in a statistical point of view, investors do not make use of the information of fair value liabilities to make decisions. This paper shows that, in general, the implementation of the new standard can improve the decision usefulness of fair value and solve the problem lack of reliability.