Margin Requirements and the Security Market Line
利用1934至1974年间美联储22次调整初始保证金要求的变化，发现投资者杠杆约束越紧，贝塔与预期收益之间的关系越平坦，为杠杆约束解释资本资产定价模型实证失效提供了有力证据。
ABSTRACT Between 1934 and 1974, the Federal Reserve changed the initial margin requirement for the U.S. stock market 22 times. I use this variation to show that investors' leverage constraints affect the pricing of risk. Consistent with earlier theoretical predictions, I find that tighter leverage constraints result in a flatter relation between betas and expected returns. My results provide strong empirical support for the idea that the constraints investors face may help explain the empirical failure of the capital asset pricing model.