This paper discusses Perfect Bayesian herd behavior in a stock market under asymmetric information. We construct a signaling game model to obtain the following main conclusions: The informed main investor's strategy signals his private information about return types to uninformed investors. Uninformed investors, in mixed equilibriums, had better to follow the informed investor's strategy. Consequently, herd behavior exists in the stock market. The investment behavior between informed main investor and uninformed investors is rational.