Abstract
In this paper, I decompose prices over a set of 21 variables across seven categories. I test a firm-specific version of the Campbell and Shiller (1988b) model against these categories and show expected returns and change in cash-flows explain 5% or less of modeled price variation while an often-ignored time-series constant explains over 70%. Approximately 50% to 70% of modeled cross-sectional variation is explained by efficient market variables, with the remainder explained by market frictions. I find institutional ownership and share repurchases show a significant ability in the cross-section to explain next-period prices, while transaction costs and some traditional market risk-factors fail to translate well to a price setting.
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