Abstract:Through the study of Shenzhen SME board listed companies from 2013 to 2016, this paper finds that the stronger the technological innovation capability, the lower the cost of equity and debt capital, and the impact on the cost of equity capital is greater than the impact on the cost of debt capital. The further research finds that the impact of technological innovation capability on the cost of capital is significantly different in different life cycles. In the maturity period,technological innovation capability has a greater impact on the cost of equity capital, while in the growing period, that has a greater impact on the cost of debt capital. Therefore, enterprises should pay attention to technological innovation to reduce capital costs, and shareholders and creditors should fully identify the life cycle stage of the investment enterprise, so as to select reasonable investment schemes.