Prior studies show that policy uncertainty is negatively related to corporate investment but whether higher policy uncertainty is associated with investment efficiency remains largely unexplored. To fill this research gap, this study examines the relation between policy uncertainty and over- or under-investment. Different from prior studies, I also examine the effect of headquarter country and world policy uncertainty. Using a sample of nine countries from 2001 to 2014, I find that higher policy uncertainty is negatively (positively) related to over-investment (under-investment). These results suggest that both headquarter country and world policy uncertainty influence firm’s investment behavior.