The impact of government ownership of a firm’s equity has generated much discussion in finance, economics, and politics. Extant literature provides evidence of both positive and negative effect of government ownership on the market value of firms with multiple reasons in favor of both effects. There has also been re search on how such effects may differ in different markets. This paper aims to explore value-relevance in Russian financial markets. We are exploring the relationship between government ownership of a firm’s equity on its market value in Russia with the view of answering the research question of how investors in Russia perceive the fact and degree of government ownership on equity measured through the market value of equity. We are using a sample of 159 Russian listed companies to identify relationships between market value and government ownership of equity. Previous studies support a positive relationship between such variables, however evidence from Russian listed firms proves otherwise. We find little statistically significant evidence of such association in the market in general, how ever the industry effect proved to be significant; we find that government control is severely penalized in manufacturing, while rewarded in service sectors; this effect also depends on the concentration of government ownership. This research con­nects to the efficient market hypothesis (EMH).