Abstract: Based on the typical facts of the lag of financial market reform in China, this paper utilizes the index of financial factor distortion and the inter-provincial panel data of China's high-tech industries during the period of 1999 to 2009, and constructed a GMM dynamic panel to make an empirical study of financial factors distortion influence on the enterprise innovation investment. The study shows that financial factors distortion significantly inhibits the growth of innovation investment of high-tech enterprises in China, and the effect of this innovation inhibition is more obvious in the areas where the degree of financial factors distortion is higher. Further study using panel threshold model found that the level of economic development, the structure of property rights, the level of fiscal revenue and the degree of openness of different threshold interval in different regions, the effects degree and direction of financial factors distortion on enterprise innovation investment are obviously different. The conclusion of this paper not only explains the financing difficulties of innovation activities generally faced by China's high-tech enterprises during the transitional period from the perspective of financial factors distortion, but also provides empirical evidence for understanding the micro transmission path of financial factors distortion influence on the enterprise innovation investment.