We find that consumption risk is lower in states that implement counter-cyclical fiscal policies. Moreover, firms whose investor base are concentrated in counter-cyclical states have lower stock returns, along with firms that relocate their headquarters to a counter-cyclical state. Therefore,...

We derive testable implications of Kyle and Obizhaeva's (2016) notion of "bet invariance'' for the cross-section of trade-time volatilities. We jointly develop theoretical foundations of "no speculative arbitrage'' whose implications incorporate those of bet invariance. Our proposed test...