Abstract: Relying on the data from Chinese stock market between 2007 and 2015, this article discusses the main source of innovation investment funds in the heterogeneous firms and how it changes according to the economic environment. This article finds: (1) the main source of innovation investment funds in state-owned firms is governmental subsidy, as for non-state-owned firms, it is internal fund; (2)the main source of innovation investment funds in high-tech firms is governmental subsidy, as for non-high-tech firms, it is internal fund; (3)according to the changes of economic environment, the main source of innovation investment funds in the listed firms shows regularity likes this: governmental subsidy → internal funds→ governmental subsidy. Therefore we can get a conclusion: there are distinctions between the main source of innovation investment funds in the heterogeneous firms, and firms prefer to use governmental subsidy when the economic environment is negative. The conclusion is also a supplement to Pecking Order Theory.