Melissa McCarthy lost a $9,000 wig on a jet ski.

The 43-year-old actress was testing a stunt for her new movie 'Tammy' but things went wrong when she failed to interpret her adviser's instructions properly and crashed in the water.

She recalled: ''We were just doing a test. It's hard to shoot on water because everything's we did a test and I'm like, 'Isn't it a great idea if I'm in full wig and costume? Because if we shoot some stuff, maybe it's usable.'

''And I'm like, 'I'm kind of amazing at this,' because I'm really a couple steps ahead. I don't really know how to ride a jet ski--I've never been on one before.

''All I heard was 'faster' and 'dig in' [from the stunt co-ordinator]. So I literally cranked it up. I'm going like 45 miles per hour, thinking, 'Oh, god, I'm not skilled. I shouldn't be doing this. But the camera's getting it, so maybe it'll look good and we're ahead of schedule.'

''I flipped that thing at 45 miles an hour. I don't remember ever leaving it. All of a sudden, I literally was like, 'I'm in water.' I didn't know if I was up or down and I thought, 'Holy god, I've got that wig on'.

''We don't have a huge budget and a wig's like $9,000...which, by the way, had like 35 pins in it. You couldn't rip it off my head.''

Despite the loss, Melissa tried to look on the bright side - only to learn cameras hadn't even captured the incident.

She added on 'Chelsea Lately': ''Everybody was freaking out because I hit so hard and I was like, 'But at least we got it!' and they're like, 'The cameras weren't on!' ''