Mayfield (2004) estimated the market risk premium in the ICAPM framework that accounts for changes in investment opportunities. We claim that these estimates were inconsistent due to an endogeneity problem associated with the assumption that investors have perfect knowledge about the volatility states. We estimate the market risk premium controlling for the endogeneity. Our empirical results show that imposing this perfect knowledge assumption understates the total market risk premium and overstates the relative importance of the risk premium for shifts in investment opportunities.