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We empirically investigate the predictions from alternative intermediary asset pricing theories. Exposure to broker-dealer book leverage commands a positive price of risk while high levels of broker-dealer leverage are associated with low future returns. In contrast, exposure to broker-dealer book equity relative to total wealth earns a negative price of risk and high broker-dealer equity predicts higher future returns. Measures of intermediary market equity yield opposite signs but are not robust to the inclusion of common risk factors. We conclude that there is strong support for models with leverage constraints as opposed to net worth constraints as the relevant friction.