This paper builds a model of the influencing factors of stock investment returns based on the enterprise’s financial indicators by the partial least squares method，then it uses structural equation model to study the influences of the corporate finance and investor sentiment on stock returns，then it makes a comparative analysis.The results show that the financial indicators have a influence on the stock investment returns，and after the adding of investor sentiment，the influencing financial indicators and its coefficient have changed，and then it puts some Suggestions according to the results.It provides a certain reference for the investors to make rational investment decisions，and it has a far-reaching significance for enterprises’development and the healthy and stable development of the securities market.