Using the corporate bonds issued by nonfinancial firms during the year of 2014 to 2017, this paper empirically studies whether government ownership affects the issuers' financing costs and further explores the underlying economic mechanisms. Our findings show that issuers' government ownership significantly reduces the corporate debt financing costs. However, recent credit default events in public bond market, as exogenous shock to investors' expectations of government implicit bailout, dramatically weakens the negative association between government ownership and debt financing costs. These results will be particularly stronger for issuers in industries with severe government interventions and private placement bond. Our findings imply that government ownership is positively associated with investors' expectation of ``rigid payment'', while the credit default events do signal the government's decreasing willingness of ``bailing-out'' the potential default risk and shake the investors' faith in expectation of ``rigid payment'', which will significantly weaken the government ownership effect on issuers' financing costs.