中文摘要：

依据证券市场的交易特点把投资者面临的市场流动性风险分解为外生和内生流动性风险，并引入流动性需求状态变量随机化了的投资者对证券的持有期限，得出基于流动性风险调整的资产定价模型．模型能够解释实证研究发现的投资者对流动性风险中不可分散的系统性部分要求相应的风险补偿现象．而且模型揭示出，流动性水平和市场流动性风险的补偿要求是投资者的流动性需求紧张程度的增函数，解释了流动性风险溢价的时变性现象．

英文摘要：

In asset pricing theories, the theoretical significance of market liquidity risk premium is a hot topic. This paper decomposes market liquidity risk into exogenous and endogenous liquidity risk, introduces liquidity demand as a state variable giving rise to the random holding horizon, and develops a liquidity risk-adjusted capital asset pricing model. Besides agreeming with the previous theoretical literatures on the effect of exoge- nous liquidity risk on asset pricing, we find that different elasticity values of price impact can make a cross- sectional dispersion in required return for the level of liquidity and market liquidity risk. The state variable of liquidity demand affects market liquidity risk premium increasingly, and could induce the known time-varying phenomenon of liquidity risk premium.