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

摘要： 资产定价既是现代金融的核心,也是许多困惑之所在,其中最著名的就是股权溢价之谜和无风险利率之谜。本文对消费资本资产定价模型中的效用成本做了重新思考,引入"效用成本风险异质性"的概念,并将效用成本区分为"消费效用成本"和"风险效用成本"。在此基础上,本文提出了消费资本资产定价模型的新形式,并对股权溢价之谜和无风险利率之谜进行解释。

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