Controlling related variables，the paper adopts three kinds of methods ( GLS model，ES model and OJ model) to measure the cost of equity capital of listed companies，applies panel data consisting of related continuously obtainable information of Chinese non-financial listed companies dated from 2004 to 2007，and，within the framework of agency cost and information asymmetry，empirically examines the relationship between the ultimate ownership structure and the cost of equity capital． The results show that the ultimate ownership structure is one of the important factors to affect the cost of equity capital: (1) Cash flow right is remarkably negatively correlated with the cost of equity capital; (2) The separation degree of controlling right and cash flow right is remarkably positively correlated with the cost of equity capital; (3) The cost of equity capital of companies that are ultimately controlled by the state is significantly higher compared with those companies whose ultimate controllers are non-state-owned enterprises．