Abstract: This paper examines the impact of the media coverage on the investment efficiency. The results show that media can have a positive effect on the investment efficiency. However, the media may have a negative effect on the investment efficiency because of media bias. One of the consequences of the media bias is that rational investor would reduce the their trust and reliance on media, and this paper further find that the complicated institutional investors will reduce the reliance on the media reports compared with the individual investors. The higher of the proportion that hold by institutional investors, the less of the impact of media reports have on the efficiency of investment. This article is conducive for guiding investors to make investment decisions rationally; it has important significance for the regulatory authorities to make the media play a good governance role.