进入二十一世纪以来，世界各国高度重视科技研发投入，并积极探索通过资本市场、直接融资等渠道支持企业进行科技研发投入。随着我国科创板、创业板注册制的逐步推出，一大批国内的科技企业、创新企业在过去的十年间实现了上市，助推我国高技术产业的发展和产业升级。这些资本市场改革和融资渠道的打通，促进了我国企业的研发投入。本文的研究分为3个部分。首先，本文对中国A股上市公司的研发支出的现状和整体情况进行了分析，包括对我国上市公司披露研发支出的情况、各行业研发支出的情况进行了整体分析。第二，本文选取我国中证800成分股（即沪深300成分股和中证500成分股）的上市公司为研究对象，对样本内公司的研发支出（RDA）、研发支出与营业收入之比（RDS）、研发支出与总市值之比（RDM）等数据与上市公司未来股票回报展开了实证研究。实证结果显示，RDA和RDM因子，与股票未来回报具有正相关关系。通过RDA、RDM构建的多空组合具有显著的超额收益，其中RDM的多空组合的超额收益更高，显著性水平也更高。第三，本文进一步将RDM因子做子因子，增加盈利子因子、成长子因子，构建了I-Score因子。I-Score因子与股票未来回报的正相关关系更强。通过I-Score构建的多空组合、多头组合具有显著的超额收益。本文的研究贡献为：实证了研发支出及其衍生因子对公司股票未来回报的影响，对学界已有的研究形成了进一步的补充，以期为完善我国支持企业扩大研发投入提供理论参考和实证依据，并提出了相应的研究展望和政策建议。

Since entering the 21st century, countries all over the world have attached great importance to scientific and technological R&D investment, and actively explored ways to support enterprises' R&D investment through capital market, direct financing and other channels. With the gradual reform of China stock IPO system, a large number of domestic science and technology enterprises have been listed in the past decade, boosting the development and industrial upgrading of China's high-tech industry. These capital market reforms and the opening of financing channels have promoted the R&D investment of Chinese enterprises.The paper consists of three parts. First, this paper analyzes the current situation of R&D expenditure of China's A-share listed companies. Second, this paper selects the constituent companies of CSI 800 index and analyzes the R&D expenditure (RDA), the ratio of R&D expenditure to sales (RDS), and the ratio of R&D expenditure to market capitalization (RDM) on the future stock returns of listed companies. The empirical results show that RDA and RDM factors have a positive correlation with the future stock returns, which can predict stock future return. The long and short portfolios constructed through RDA and RDM have significant excess returns, in which the excess returns of RDM are higher and the significance level is higher. Furthermore, this paper further takes RDM factor as a sub factor, plus growth and ROIC factors to construct the I-score factor. The positive correlation between I-score factor and stock future return is stronger. The long-short portfolio and long portfolio constructed by I-score have demonstrated significant excess returns.The research contribution is as follows: this paper is to demonstrate the impact of R&D expenditure and its related factors can predict stock future return in A share market; this paper complements the existing research in the academic circle, and provides theoretical reference and empirical basis for improving China's support for enterprises to expand R&D investment, and put forward corresponding research prospects and policy suggestions.