The existing research finds that R & D investment at firm level has low or even negative performance. And it cannot support the inference that R & D investment has important effect on economic growth. The reason lies in that traditional research based on knowledge capital model estimates average returns of R & D investment and smooths out the firm heterogeneity of returns of R & D investment.This paper constructs a structural model to deal with uncertainty,nonlinearity and heterogeneity of returns of R & D investment. Compared with existing structural models,it takes firm heterogeneity of premium into account,and specifically addresses factors affecting firm demand. It arrives at the conclusions as follows: firstly,the returns of R & D investment are actually uncertain and nonlinear,thereby having very obvious firm heterogeneity; secondly,the returns of R & D investment in individual enterprises can even be higher than average returns several times,which is enough to provide a strong incentives for R & D investment. Firm heterogeneity of returns of R & D investment is the key to the understanding of coexisting of low returns of R & D investment in average sense and the importance of R & D investment to economic growth at macro level. Therefore,it fully believes that R & D investment and resulting productivity improvement can be the main force for promoting sustainable economic development in China in the new normal.