To study whether high idiosyncratic risk indicates high information efficiency，this paper extracts the volatility caused by information infusion from the residual variance of CAPM model，and finds it has great explanatory power to idiosyncratic risk．Meanwhile，the intrinsic risk of the firms is incorporated into the price by informed trading．Secondly，the authors analyze the elements of PIN and point out that the combined effect of informed trading and noise trading leads to contrary empirical evidences in current researches．In the end， this paper discusses the idiosyncratic risk based on the definition of information efficiency and shows there is no direct relation between R2 and information efficiency．