At present, the secondary industry is still dominating in Chinas national econ omy, and the proportion of added value of heavy and chemical industrics is increasing in recent years, so the energy demand grows rapidly with the economic development.Our country as developing country which industrial technology is still relatively lim ited and unit output value is high energy consumption, so saving energy and reducing consumption is the core issues in Chinas future economic development.Thereinto, coal consumption in the power industry account for over 0.50 in the national total coal consumption, and it is main area of saving energy in the future economic development.Especially, high coal consumption and high pollution of small thermal power units were closed down that brought new investment opportunities for the listed power companies.Conbquently, this paper has been selected listed pow er company as studying objects, and uses principle component analysis for studyiug investment risk of listed power company.First, we use principle component analysis for building evaluation model to analyze investment risk which the listed power com pany will face in the new investment; second, we choose 10 listed power companies of their financial statements in recently 3 years, and select representative financial indicators from six aspects of the solvency, management ability, profitability, capital structure, growing ability and cash flow for analyzing in details; finally, with above mentioned results, we give some suggestion to the investment risk of the listed power companies which can help them effectively reduce or elude risk the investment in the future operation and management.