Time Varying Market Leverage, the Market Risk Premium and the Cost of Capital
指出，当用股票组合代表市场组合时，传统Ibbotson方法估算的市场风险溢价违背了MM命题II和III；新提出的估算方法修正了这些缺陷，在美国1952-1997年间，两种方法得到的市场风险溢价和加权平均资本成本差异分别高达2.5和2.6个百分点。
This paper shows that, when as usual the market portfolio is proxied by a share portfolio, then the conventional Ibbotson (1999) estimator of the market risk premium violates Miller–Modigliani (1958 and 1963) propositions II and III. A new estimator of the market risk premium is proposed which is free of these defects. In addition, across the range of market leverages experienced in the US in the period 1952–1997, it generates estimates of the market risk premium that differ from those generated by the Ibbotson methodology by up to 2.5 percentage points, and weighted average costs of capital for firms that differ by up to 2.6 percentage points.