A key feature of the stock market is the volatility of stock returns, which is caused by many factors, among which the analysis of financial indicators of listed companies has the most critical impact on stock returns. In order to deal with the principle of the influencing factors of stock returns better, the influencing factors of stock returns are studied in this paper. First, sort out and analyze the factors that may affect stock returns, and then use stepwise regression to extract the characteristic variables, and then test the significance of the equation and the significance of the variables to obtain the equation model. Through the analysis of economic meaning, it can be concluded that the coefficients are in line with the principles of economics, which can effectively predict the trend of future stock returns, help investors make reasonable investment decisions, and have certain practical significance.