In financial asset allocation, enterprises adjust their investment in R&D innovation according to their motives and the external environment. Based on a review of the literature related to enterprise financialization and R&D innovation, this paper proposes research hypotheses through theoretical analysis first; then, taking China's A-share non-financial listed companies from 2010 to 2019 as research objects, this paper explores the relationship between enterprise financialization and R&D innovation with a quantile panel data model; further, the heterogeneous relationship between the two under different business cycle phases is empirically analyzed. The following conclusions are drawn. First, there is a dynamic relationship between enterprise financialization and R&D innovation, varying with different financing constraints. Second, the dynamic relationship between enterprise financialization and R&D innovation stems from the motivation difference in enterprise asset allocation. Third, there are significant differences in the dynamic relationship at different business cycle phases.