This study investigates the effect of government ownership structure, business risk and financial leverage among other variables (size, age and growth) on a company's performance in a panel data, using 191 companies from five GCC countries (Qatar, Saudi Arabia, Oman, Bahrain and Kuwait), during the period 1999- 2006. Our results indicate that government ownership affects the performance and value of GCC firms. Government ownership positively and significantly affects firm's performance ROA. The insignificance of a firm's leverage (LEV) indicates that the firm's performance is irrelevant to its capital structure, and that supports Modigliani and Miller (M&M) (1958) argument. Our finding is that business risk (BETA) significantly and positively affects firm's performance ROE and supports the classic risk trade-off arguments. Furthermore, age was found to have a positive and significant impact on firm's performance ROA and ROE.