---- Acknowledgements -----
We thank Yakov Amihud, Mike Chernov, George Constantinides (discussant), Nicolae Garleanu, Michael Johannes, Xavier Gabaix, Kasper Ahrndt Lorenzen, Alessio Saretto and seminar participants at the NBER Asset Pricing Workshop 2012, New York Federal Reserve Bank, Wharton, London Business School, Imperial College, London School of Economics, INSEAD, Paris HEC, New York University, and Tilburg University for helpful comments and discussions. The authors are affiliated with AQR Capital Management, a global asset management firm that may apply some of the principles discussed in this research in some of its investment products. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.
---- Disclosure of Financial Relationships for Lasse H. Pedersen -----
Lasse H. Pedersen is at New York University, Copenhagen Business School, AQR Capital Management, CEPR, NBER, director of the American Finance Association, and an academic advisor for FTSE and NASDAQ OMX.