Internet Appendix to ``Speculative Betas'' citecolor=black

A. Proof of Theorem 1 Proof. We solve the model here allowing for heteroskedastic dividends σ2 i . Theorem 1 can then be proved as the special case σ 2 = σ 2 i . We assume that assets are ranked in ascending order of β/σ2. We first posit an equilibrium structure. We then check ex-post that it is indeed an equilibrium and that it is a unique equilibrium. Let ī ∈ [2, N ] and let μi be the share holdings of asset k by group m, where m ∈ {a,A,B}. Consider an equilibrium where group B investors are long assets i < ī and hold no position (i.e., μi = 0) for assets i ≥ ī, and group A investors are long all assets i ∈ [1, N ]. Since group A investors are long all assets, their holdings satisfy the following first-order condition: