Many practitioners are unaware of criticisms made of the common methods for estimating cost of capital. Do you understand the criticisms of the size adjustment? Did you know that some data indicates it may have disappeared? Did you know that the specific company risk adjustment has been attacked for lacking a sound theoretical framework? Did you know that the most widely used models for developing cost of capital (Capital Asset Pricing Model (“CAPM”) has been attacked as unreliable? We explore the current literature looking for the answers to questions such as: what is the Equity Risk Premium? Are the cost of capital models we use wrong? Or are we just miss-measuring the inputs? How can we improve the data we use as inputs to our models?