Investment is one of most important financial activities in corporate governance, and ownership structure is critical to investment. State ownerships occupy a very great position in the security market of China. Based on the domestic background in corporate governance, this paper studies the nature of shareholders and its effects on investment efficiency. Since many comparisons have been done between private ownerships and state ownerships, this paper only focuses on those listed companies controlled by the government. Aiming at a better understanding of the government ownerships, we employ Chen’s parsimonious OLS model to evaluate investment efficiency. Then we do empirical comparisons among different companies with different shareholders. We found that listed companies controlled by the central government have higher investment efficiency than local government controlled ones; for companies controlled by the government, the nature of the direct shareholder is not a factor that influences investment efficiency