Using the data of Chinese listed companies, this paper studies the difference of the investment behaviors between state-owned firms and non-state-owned firms when they face loss and profit respectively. It is found that both state-owned firms and non-state-owned firm~ have tendency to over-invest but they take on different characteristics. Lost non-state-owned firms are more likely to over-invest than profitable non-state-owned firms. On the contrary, profitable state-owned firms are more likely to over-invest than lost state-owned firms. The over-investments of both profitable state-owned firms and lost non-state-owned firms have negative influence on firms' value.