This paper discussed the relationship between inefficient investment and stock price crash risk and the effects of audit supervision of economic consequences of inefficient investment behavior based on a sample of 2008-2013A share listed companies. Research conclusions are as follows: The more severe the inefficient investment, the more motivated to conceal their negative news to cover agency motives and expropriation behavior the management is, the higher the future stock price crash risk will be. Independent audit of high quality can significantly inhibit the effects of inefficient investment on stock price crash risk, which proved as an independent external oversight and auditing mechanisms has the function of corporate governance. Findings show the policy implications that the risk of the stock market need to be avoided and resolved from the sources of listed companies proxy issues.