In the era of knowledge economy, will enterprise technological connections create excess returns? This article aims to reveal whether there is a technological momentum effect in the Chinese capital market and the sources of this effect. Research has found that there is a significant technological momentum effect in the Chinese capital market. The long short investment strategy constructed by investing in technology related factors can bring monthly excess returns of 1.06% to 1.68%. The excess return is not the result of risk compensation, but a mispricing caused by limited investor attention, and this mispricing takes 1-3 months to be corrected. This study has important reference value for understanding enterprise R&D returns, enterprise technology spillovers, investment portfolio construction, and the effectiveness of China’s capital market.