本论文主要研究上市企业财务指标对股票收益的影响。自2016年国家颁布并实施《高新技术企业认定管理办法》后，高新技术企业迅速发展其中沪深交易所更是汇集了不少高科技企业。本文选取30家高新技术企业2016年至2020年的财务指标，构建高新技术企业上市公司财务风险评价体系。本文采用主成分分析法提炼出反应企业盈利能力、偿债能力和营运能力三个方面的主成分，并与适合评价高新技术企业的政策性指标和创新能力指标组成回归模型。通过建立混合效应模型，发现代表盈利能力、运营能力与创新能力的财务指标对高新技术企业的股票收益率影响显著。该研究对股票投资者、市场监督者有一定的借鉴意义。

This paper mainly studies the impact of enterprise financial indicators on stock returns. Since the promulgation and implementation of the administrative measures for the recognition of high-tech enterprises in 2016, high-tech enterprises have developed rapidly, and many high-tech enterprises have been gathered in Shanghai and Shenzhen Stock Exchange. This paper selects the financial indicators of 30 high-tech enterprises from 2016 to 2020 to construct the financial risk evaluation system of listed companies of high-tech enterprises. This paper uses Principal Component Analysis，(PCA)to extract the principal components reflecting the profitability, solvency and operation ability of enterprises, and forms a regression model with the policy indicators and innovation indicators suitable for evaluating high-tech enterprises. By establishing the mixed effect model, it is found that the financial indicators representing profitability, operation ability and innovation ability have a significant impact on the stock return of high-tech enterprises. This study has certain reference significance for stock investors and market supervisors.