There exist information asymmetry and heterogeneous divergence among investors in emerging capital markets, and traditional behavioral finance theory does not combine the two to conduct in-depth research on IPO underpricing. Based on behavioral finance and information asymmetry theory, this paper constructs an IPO underpricing model under the investor observable heterogeneity and structure of private information, and analyzes the mechanism of them. The results show that remaining the other conditions unchanged, the greater the observable heterogeneity between investors, the higher the IPO underpricing. The private information of institutional investors has a greater impact on IPO pricing, and whether retail investors have private information or not, that is, the greater the degree of information asymmetry between institutional investors, the lower the IPO underpricing, but retail investors have no effect. In addition, further research has found that IPO underpricing is positively correlated with investor risk aversion coefficient, allocation proportion and issuance scale, and is negatively correlated with the number of institutional investors. Therefore, the research in this paper not only can explain the "vision" of China's IPO, but also can provide some theoretical guidance for the further marketization reform of China's securities market.