Based on the data of Shanghai and Shenzhen A shares of listed companies from 2010 to 2012, we build an empirical model to reveal the relationship between non-efficiency of investment and managerial risk preference. The results show that: the level of managers' risk preference has a significant impact on inefficient investment. In the enterprises with insufficient investment, the higher the level of managers' risk preference, the lower the level of corporate investment; the higher the level of managers' risk appetite, the higher the level of corporate investment. On this basis, we group into two subsamples by equity propensity, further research shows that risk preference level of enterprise managers is significantly higher than that of state-owned enterprises; investment risk preference level managers in the state-owned enterprises and private enterprises to the enterprise is in difference.