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   "estimand": "Effect of the tightness of investors' leverage constraints (Regulation T initial margin requirement) on the slope and intercept of the security market line",
   "strategy": "Time-series regressions of monthly cross-sectional SML slope and intercept, estimated from beta-sorted portfolios, on the lagged Fed-set initial margin requirement, exploiting 22 regulatory changes from 1934 to 1974, with controls for market return, other risk factors and the cost of leverage",
   "key_assumptions": [
    "Margin requirement changes are not driven by factors that independently affect the price of beta risk",
    "The margin requirement is a direct and binding measure of maximum leverage, not an endogenous price",
    "Ex ante portfolio betas adequately measure systematic risk"
   ],
   "threats_addressed": [
    "Endogeneity of margin changes to market conditions (determinants of Regulation T changes analysed)",
    "Confounding by the cost of leverage (borrowing-lending rate spread control)",
    "Omitted risk factors",
    "Sensitivity to test assets, portfolio construction and estimation method",
    "Short-sales constraints interacting with disagreement"
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   "standard_errors_description": "unclear"
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  "figures": {
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   {
    "claim": "Tighter margin requirements are associated with a flatter SML slope and a higher intercept.",
    "evidence_type": "table",
    "evidence_ref": "Table VI"
   },
   {
    "claim": "The result holds when controlling for additional risk factors and using alternative test assets.",
    "evidence_type": "table",
    "evidence_ref": "Tables VII, VIII"
   },
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    "claim": "The borrowing-lending rate spread does not explain the SML slope or weaken the margin effect.",
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    "evidence_ref": "Table IX"
   },
   {
    "claim": "Increases in margin requirements reduce margin credit.",
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    "evidence_ref": "Figure 3; Table III"
   },
   {
    "claim": "The SML is flatter in subsamples with higher initial margin requirements.",
    "evidence_type": "figure",
    "evidence_ref": "Figure 1, Figure 4"
   },
   {
    "claim": "Under a common margin constraint, the SML is flatter than in the unconstrained CAPM.",
    "evidence_type": "equation_or_proof",
    "evidence_ref": "Section I eq. (1); Appendix derivation"
   },
   {
    "claim": "The TED spread is a poor proxy because it is endogenous and has the wrong-signed relation in prior work.",
    "evidence_type": "prior_literature",
    "evidence_ref": "Cohen, Polk, Vuolteenaho (2005); Frazzini and Pedersen (2014)"
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  "structural_summary": "The paper opens with the flat-SML anomaly and the leverage-constraint theory that explains it. It then argues that existing proxies such as the TED spread are flawed and proposes the Fed's margin requirement as a direct measure. The theory section summarizes a constrained-CAPM model, with the derivation in the appendix. A long institutional section documents the regulation, what drives its changes, and its effects on margin credit. A two-step SML estimation, following Cohen, Polk and Vuolteenaho, feeds time-series regressions on the margin level. Results are followed by robustness checks, a cost-of-leverage control and a short-sales/disagreement analysis. The conclusion restates the finding but concedes that constraints alone cannot explain negative slopes, and it lists other possible factors.",
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   "constrained CAPM",
   "betting-against-beta",
   "security market line",
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