将一阶马尔科夫过程引入到经典资本资产定价模型(CAPM)中,从动态的角度提出基于马尔科夫状态转换下的资本资产定价模型,即允许反映市场风险载荷的β系数和条件方差呈现时变状况.实证显示该模型优于经典资本资产定价模型,并能够刻画动态变化过程,经典CAPM为该模型的特例. The first-order Markov process is introduced into the CAPM, and the capital asset pricing model based on Markov transition is proposed from the perspective of dynamic. That is to say, the β-factor and the conditional variance that reflect the market risk load are allowed to be presented The time-varying situation shows that the model is better than the classical capital asset pricing model and can characterize the process of dynamic change. The classical CAPM is a special case of this model.