At present, China is pushing forward the reform of "CuttingTaxes and Fees" in order to reduce the tax burden on enterprises and boost the vitality of the real economy.However, the implementation of reform policies will be subject to great uncertainty due to the difference in the intensity of implementation, which will affect the implementation effect of the policies.Although the central government has always stressed the need to maintain the stability of macroeconomic policies, but in the past decade, many economic policies in China have been characterized by "discretionary choice", which not only exacerbated investment fluctuations, but also caused serious problems to boost business confidence.Policy uncertainty makes it difficult for enterprises to reasonably predict investment returns and costs, which leads to severe distortions in investment decisions and makes it arduous to achieve the goal of maximizing return on capital.In recent years, China's declining returns on capital has seriously hit the investment-driven growth mode. Therefore, reasonably evaluating the influence of policy uncertainty on the return on capital and its mechanismnot only helps to build the steady growth policy of return on capital, but also provides scientific guidance for the smooth proceed of the "CuttingTaxes and Fees " reform. Most studies on the impact of policy uncertainty have problems such as controversial index selection and the endogenous problem of policy impact assessment. Therefore, if there is an exogenous impact that can measure the change of policy uncertainty, the above problems can be solved.China's Income Tax Sharing reformin 2002 provided a rare quasi-natural experiment in assessing the impact of policy uncertainty.Based on the above Income Tax Sharing reform, this paper estimates the relationship between tax policy uncertainty and return on capital with the help of a relatively new measurement method—Regression Discontinuity Design, which effectively avoids endogenous problems among variables and improves the accuracy and credibility of the research conclusion.In addition, under the background of China's vigorous promotion of a new round of "CuttingTaxes and Fees " reform, different from the previous research paradigm of exploring the promotion force of return on capital based on economic factors, our research on the mechanism of improving return on capital from the perspective of tax policy uncertainty enriches relevant research. Our conclusions are as follows: First,after the implementation of the Income Tax Sharing reform in 2002, the return on capital of Chinese industrial enterprises showed a significant "leap". Reducing the uncertainty of tax policy can significantly improve the return on capital of enterprises, so the policy dividends of further deepening tax reform in China can be expected.Second, compared with state-owned enterprises and collective enterprises, private enterprises have strong liquidity and can "vote with feet" on unreasonable local policies. Therefore, the change of their return on capital is relatively less affected by the uncertainty of tax policies.Third, the impact mechanism analysis shows that the uncertainty of tax policy not only increases the tax burden of enterprises, it also erodes the foundation of stable development of enterprises—investment, leading to increased investment volatility, which is not conducive to the improvement of return on capital. Therefore, in addition to "tax reduction", tax reform in the future should also focus on the policy reform of "stable expectation", that is, the relationship between the authority boundary and the law enforcement intensity of tax enforcement should be handled well, so as to improve the certainty level of tax policy and provide tax policy guarantee for stable economic growth.