Maarten Meeuwis, Jonathan A. Parker, Antoinette Schoar, Duncan I. Simester

NBER Working Paper No. 25108
Issued in September 2018, Revised in September 2019

---- Acknowledgments ----

For helpful comments, we thank Roland Benabou, Ing-Haw Cheng, James Choi, Gregory Huber, Steve Nicholson, Lubos Pastor, Chester Spatt, Johannes Stroebel, David Thesmar, Paul Willen and seminar participants at the Federal Reserve Bank of Boston, Goethe University, Ohio State, MIT, NYU, Northwestern, Stanford, UCLA, Washington University St. Louis, and conference participants at the AEA 2019 Annual Meetings, the Macro Financial Modeling Winter 2019 Meeting, the SED Day-Ahead Conference 2019, and the NBER Summer Institute Asset Pricing Meeting. We thank our data provider for use and explanations of their data and Yijun Liu for research assistance. Data were obtained under a non-disclosure agreement with a financial institution. All authors are consultants for the large financial institution, but only Duncan Simester receives financial compensation. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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