Income-oriented investor composition and the cross-sectional pricing of dividend-state exposure

This paper develops a static asset-pricing theory explaining how income-oriented investor composition affects the relative valuation of assets with different exposure to distributed-income states. In a finite-state complete-market economy, income-oriented investors have a marginal-valuation complementarity between consumption and the serviceability of distributed income. Observable investor composition is mapped into pricing influence through a static pricing-mass representation, rather than by assuming an arbitrary Pareto weight. The model solves the complete-market allocation, state prices, risk-free bond price, risk-neutral measure and admissible asset prices. It then derives a local cross-sectional sorting theorem showing that, after removing the common risk-free component, relative price sensitivity to income-oriented pricing influence is ordered by normalized dividend-state exposure, not by dividend yield, payout level or direct fund-flow pressure. The result implies required expected payoff return compression for assets whose scale-adjusted payoffs load more strongly on distributed-income states. The paper contributes to financial economics by reframing income-oriented investor composition as a state-price channel and by providing a theoretical foundation for future empirical work on dividend-paying equities, REITs, utilities, infrastructure assets and income-oriented funds.