This paper is to have an empirical research on factors influencing stock returns of listed companies in China through different industries and come to the conclusion that β is the most dominating factor influencing stock returns except one or two industries and it is negative linear correlativity with stock returns and most financial indicators have less impact on it.

The actual distribution of stock returns possesses the characteristic of steep peaks,heavy tails and skew, so traditional normal distribution cannot describe this characteristic any longer.

This paper conducts an empirical test on the industry effects of stock returns of listed companies in Shanghai and Shenzhen,with Kruskal-Wallis One-way Analysis of Variance by ranks,and gives the influence of industry effects on stock returns.