关键词: 消费资本资产定价模型, 效用成本风险异质性, 消费效用成本, 风险效用成本

Abstract: Asset pricing is considered as the core of modern finance;it involves puzzles such as the equity premium puzzle and the risk-free rate puzzle,which have attracted an extensive research interest.This paper reconsiders the utility cost,brings in the concept of utility cost heterogeneity for heterogeneous risk of asset,and distinguishes the utility cost into the utility cost of consumption decrease and the utility cost of risk.On this basis,this paper proposes the new forms of CCAPM model,and gives explanations of the equity premium puzzle and the risk-free rate puzzle.

Key words: CCAPM, utility cost heterogeneity for heterogeneous risk of asset, utility cost of consumption decrease, utility cost of risk