Whether investor sentiment has any bearing on asset returns has long been a topic of interest in finance. We use the consumer confident index of Taiwan similar to the consumer sentiment index of University of Michigan to exam the predictability on industries return. We use monthly returns from 2002 to 2006, and we find that change in consumer confident could predict the industries which have maximum weighted on Taiwan stock market. We find that change in consumer confident index has more predictive power on Electronics and Automobile industries. As for individual stock, we find returns of UMC, Delta Electronics, TSMC, Quanta Computer, Asustek, AUO, Chunghwa Picture Tubes, have high relationship with consumer confident index. To sum up, consumer confident index has certain importance on stock returns of firms that produce consumer product.