本文以Easley, Kiefer, O’Hara and Paperman (1996)的結構模型為基礎估計資訊交易機率，並沿用Easley, Kiefer, and O’Hara (1996)把限制條件放寬的模型，以Lee and Ready (1991)的演算法區分買賣單來估計資訊交易佔總市場交易者之比例，衡量出市場資訊不對稱的程度。同時，將資訊交易機率以模擬投資組合(mimic portfolio)的方式建構解釋變數而納入Fama and French (1992)的三因子模型當中形成四因子模型，檢測資訊交易是否有其風險價格。

除此之外，本文在此四因子模型之下同時加入虛擬變數(dummy variable)，檢視民國九十二年元月開始所實施的新市場交易機制(即個股交易資訊揭露由原先最佳一檔買賣價量資訊變更為最佳五檔)對於資訊不對稱所能解釋風險溢酬的程度之影響，探討當市場交易資訊透明程度提升後是否有效改善市場資訊不對稱的現象。

實證結果發現，無論是以個股超額報酬或以投資組合平均超額報酬作為應變數，利用Fama and MacBeth (1973)的ATP模型均顯示資訊不對稱確實有價。成長型股票資訊不對稱風險較價值型公司為高，而民國九十二年元月所施行之交易透明化政策僅改善部分價值型公司資訊不對稱風險，整體而言對台灣股市資訊不對稱無顯著影響。

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