---- Acknowledgements ----
We thank Nick Barberis, David Brown, V. V. Chari, Rick Green, Burton Hollifield, Patrick Kehoe, Narayana Kocherlakota, Leonid Kogan, Owen Lamont, Sydney Ludvigson, Ellen McGrattan, Antonio Mello, Mark Ready, Bryan Routledge, Martin Schneider, Masako Ueda, and seminar participants at the Federal Reserve Bank of Minneapolis, Yale School of Management, University of Wisconsin--Madison, Carnegie-Mellon University, New York University, Society of Economic Dynamics Annual Meetings in 2006, the UBC Summer Finance Conference in 2006, and the American Finance Association Annual Meetings in 2007 for helpful comments. Some of the theoretical results have previously been circulated in NBER working paper #11322 titled "Anomalies.'' All remaining errors are our own. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.