本文旨在探討當市場交易者有差別私有訊息時，證券市場之均衡性質，達到兩項基金分離的條件，以及闡釋均衡價格的揭露訊息功能。在風險資產與私有訊息服從多元常態分配之假設下，我們推導出各種均衡的資產均衡價格，並且證明以精度為權數的加權平均訊息，不但是未來資產報酬之充分統計量，也是最佳估計量。除此之外，本文說明了市場競爭均衡並非理性預期均衡，且說明了理性預期均衡可以升格為充分訊息均衡之條件，又當理性預期均衡可以升格為充分訊息均衡時，則此時之交易價格可以充分揭露訊息。

This paper presents the property of security market equilibrium, the coodition of two funds separation, and the revealing information of equilibrium prices. We assume that the traders in security market have differential information about asset value. Moreover, we assume that rates of return of risky assets and private information of traders are multivariate normally distributed. Under these assumptions, we derive equilibrium prices of risky assets and obtain some important results as follows. First, we prove that average information weighted by precision is sufficient statistic as well as maximum likelihood estimator about future asset return. Second, we show that market competitive equilibrium is not rational expectations equilibrium. Third, we derive the condition that rational expectations equilibrium can elevate to full information equilibrium. While rational expectations equilibrium can elevate to full information equilibrium, trading prices can fully reveal information.