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 exogenous liquidity risk on asset pricing,we find that different elasticit...