Enterprise risk management (ERM) has gradually become a celebrated risk management practice by corporations in the U.S. and worldwide. However, evidence on the value of ERM was mostly from U.S. insurers and other financial institutions. We provide some of the first evidence for the value of ERM for nonfinancial firms and in the international markets, in the meanwhile arguably mitigating a number of sample-related biases commonly seen in this type of studies. Using a unique sample of listed Chinese nonfinancial State Owned Enterprises (SOEs) that were stipulated to implement ERM by a set of regulatory guidelines in 2006, we show that ERM significantly increases firm value. This result is robust after accounting for China’s unique institutional background and differences in firm characteristics between the ERM and the non-ERM firms. Our analysis using a sample of all listed Chinese nonfinancial firms provides similar results albeit slightly weaker effects.