Are the Primary Dealers of the New York Fed Really Special?

He, Kelly and Manela (2017, HKM) offer strong empirical support to innovations in the equity capital ratio of the New York Federal Reserve (NY Fed) primary dealers as a priced risk factor across major asset classes. This leads them to conclude that primary dealers are special marginal investors that differ from the overall broker-dealer sector. Using information that is publicly available on the NY Fed's website, we construct HKM's intermediary capital ratio and risk factors and show that their results are likely driven by some heavy and ad-hoc trimming of the list of primary dealers. Based on our new sample, there is simply no evidence that the NY Fed's primary dealers are special marginal investors across any of the seven asset classes considered by HKM