本文以Levy(1978)、Merton(1987)关于非分散化的个体风险理论为起点,在CAPM模型的框架下重新讨论了IPO过程中非分散化风险补偿需求对抑价率可能造成的影响。本文设定了基于系统性风险Beta的抑价率模型,以及基于个股收益波动率的抑价率模型,并以中国创业板IPO市场的经验数据对模型进行了检验,发现个股收益自身波动较之系统性风险在IPO抑价的非分散化风险补偿中具有更强的解释力。这种非分散化风险补偿会使发行规模较大的企业获得较低的抑价率。 Starting from Levy (1978) and Merton (1987) on the theory of undifferentiated individual risk, this paper re-discusses the possible impact of non-diversified risk compensation demand on the underpricing rate under the framework of CAPM model. This paper sets the model of underpricing based on the systematic risk Beta and the underpricing model based on the volatility of individual stock returns. It tests the model with the empirical data from the IPO market of China’s GEM, and finds that the volatility of individual stock is more volatile Systematic risk has more explanatory power in undivided risk compensation of IPO underpricing. This non-diversified risk compensation will make the issuance of larger enterprises get a lower rate of underpricing.