Owing to the decreased profitability of real economy and the significantly increased return on financial assets since the beginning of the 21st century, non-financial firms in China are increasingly inclined to hold more financial assets. This paper performs an empirical study on the relationship between the level of corporate financialization (the amount of financial assets held by non-financial firms) and managerial ability. According to the empirical results, more capable mangers, who show a higher level of risk tolerance and overconfident tendency, are more inclined to hold more financial assets. In additional analysis, we find that the increased risk of insolvency caused by high debt level can reduce managers’ risk-tolerance level. Therefore, a high debt level weakens the positive influence of managerial ability on the level of corporate financialization. Moreover, we observe that more volatile return or frothier prices of financial assets resulting from increased economic policy uncertainty or monetary liquidity will make mangers more cautious about assessing the risks in the investment of financial assets. Consequently, when economic policy uncertainty or monetary liquidity is higher, the positive influence of managerial ability on the level of corporate financialization is also weakened. By revealing how managerial ability influences the level of corporate financialization, this paper can provide guidance for investment decision-making, corporate risk control and policy making.