Abstract: O'Hara Rational Expectation Model assumes that non-informed traders definitely learn information from the transaction price, thus the probability of informed traders has a negative effect on asset returns. In this paper, this hypothesis is relaxed and the possibility of non-informed traders' learning behavior is introduced. Using an expanded rational expectation model, it is found that the learning behavior of non-informed traders on the market transaction price affects the relationship between the probability of informed traders and the expected returns.When there is a learning behavior in the market for uninformed traders, the probability of informed traders has a negative impact on expected returns with the deepening of the learning degree of uninformed traders. In empirical analysis, the sample covers 278 IPO firms listed in SME board during 2010 to 2011. Empirical results support theoretical model conclusions. The conflicting research conclusion that the probability of informed traders has positive or negative effects on asset returns is explained, and the effectiveness of the reform of the inquiry system is tested. This study has a certain inspiration to the applicability of the probability of informed traders in asset pricing. At the same time, a kind of empirical test method for non-informed traders' learning behavior is put forward.

Key words: PIN, IPO premiums, non-linear programming, high frequency data