Using Cox proportional hazard model and Logistic discrete-time hazard model as analysis tool, this paper examines the explanatory and discriminating ability of stock market performance and macro-economic environment factors on financial distress risk of Chinese listed companies. The empirical results indicate that stock market performance and macro-economic environment factors are significantly associated with the risk of financial distress. In comparison with the hazard model that only contains financial variables, the one with the adding of stock market performance and macro-economic environment factors shows much higher overall explanatory ability and discriminating ability.