As one of the core models of finance, the consumer capital asset pricing model (CCAPM) has produced
the puzzle of equity premium. In order to explain this problem and get a more realistic pricing
formula, this paper uses constant absolute risk aversion coefficient (Cara) utility function and introduces
heterogeneous consumers to improve the original model, and finally gets a more effective form and there
is no original puzzle in this form. At the end of the article, the American data are used to verify the
results. The regression results support this model very well