This article does not focus on any special methods or techniques for pricing a share, but concentrates on the relationship between equilibrium price(s) of a share and competitive interactions of rational investors. In this article, it attempts to establish a model combining “Bayesian Game” theory concerned on “non-cooperative games of incomplete information” and “Random Walk” theory together to illustrate process of how new equilibrium price(s) will be achieved in incomplete information when new information is released into market. Moreover, due to incomplete information structure and bargaining behaviors from rational investors for maximizing their expected utility respectively in this model, it leads to a deviation between new equilibrium price(s) and value of a share (Pareto-optimality). From this conclusion, it can be stated that rational investors’ strategies or behaviors make sense for change of share price. Furthermore, since the real market is not perfect market, so 1.when rational investors price a share, they not only need to estimate value of the share, but also should consider about beliefs and strategies from opponents; 2.if behavioral patterns among rational investors can be described by the model from process of new equilibrium price(s) achieved, change of a share price will be predicted more precisely.