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We empirically investigate predictions from alternative intermediary asset pricing theories. The theories differ in their use of intermediary equity or leverage as pricing factors or forecasting variables. We find strong support for a parsimonious dynamic pricing model based on broker-dealer leverage as the return forecasting variable and shocks to broker-dealer leverage as a cross-sectional pricing factor. The model performs well in comparison to other intermediary asset pricing models as well as benchmark pricing models, and extends the cross-sectional results of Adrian, Etula, and Muir (2013) to a dynamic setting.