After the global economic and financial crisis, the environment that firms confronted become more and more complicated. How firm uncertainty affects firm’s investment behavior become the focus of theorists and practices. Based on the sample of listed companies in A share stock market, this paper investigate the relation of firm uncertainty, inefficient investment(especially over-investment)and asset pricing. This paper finds that:(1)firm uncertainty significantly intensify inefficient investment, especially when investor sentiment is high;(2)the negative effect of firm inefficient investment on firm value is mainly due to firm over-investment, and this phenomenon is more evident when investor sentiment is high;(3)firm under-investment positive affect firm value significantly, specially when investor sentiment is low. This paper enrich the research on inefficient investment, asset pricing based on investment and behavioral corporate finance, and this research is helpful for firm top managers, investors and supervisors to make decision.