considering that liquidity is one of the most important aspects of the development of financial markets and one of the risk factors of financial assets, in this thesis, liquidity risk as an influential factor on asset pricing and adjusting the traditional consumption-based capital asset pricing model and traditional Epstein-Zin models are used. In addition to the liquidity risk factor, given that transaction costs in financial markets play a decisive role in determining the trading behavior of market activists, market liquidity and return on assets, this factor is also used to adjust the traditional CCAPM. The two proxies for transaction costs include the effective trading cost of Hasbrouck (2009) and the bid-ask spread of Corwin and Schultz (2012). In this study, effective trading cost index of Hasbrouck (2009) was estimated using Gibbs Bayesian method and roll’s model and using daily data of stock closing price in Tehran Stock Exchange during 2009-2017 and the bid-ask spread index is estimated using the highest and lowest daily prices to estimate transaction costs. The results indicate that the consumption risk presented in the CCAPM has limited power to explain the expected return on stocks. But liquidity risk has a significant and positive impact on expected return on stocks, so that by increasing the liquidity risk, the expected return on stocks also increases. The analysis of the proposed model also shows that trading costs have a significant and effective role on the expected return on stocks. After estimating the parameters of the models, the performance of the models is compared using the adjusted 𝑅2 criterion. The results show that a greater proportion of cross-sectional variation in expected returns can be explained by the liquidity-adjusted CCAPM than the traditional CCAPM. The results also show that the pricing errors in liquidity-adjusted CCAPM is lower than the traditional CCAPM. In the case of Epstein-Zin model, the adjusted model has a higher adjus