---- Acknowledgements ----
We thank Paul Asquith, George Baker, Adriano Rampini, Jeremy Stein, Amir Sufi, seminar participants at the 2008 AFA meetings in New Orleans, Harvard University and University of Illinois, and an anonymous referee for very constructive and helpful comments. We also thank Robert Grundy and Phil Shewring from Airclaims Inc. Alex Bayers provided excellent research assistance. All 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.