The Leading Premium

We thank D. Duffie, E. Farhi, C. Julliard, M. Yogo, R. Koijen, S. van Nieuwerburgh and L. Veldkamp for their valuable feedback. We are very grateful to our discussants H. Ai, Jun Li, P. Savor, T. Pedersen, and P. Whelan. We also thank the seminar participants at the NBER AP group meeting, CEPR summer meeting, WFA Meeting, EFA meeting, Wharton Rodney White Conference, SED Meeting, Econometric Society Meeting, Midwest Macroeconomics Meeting, SGF Meeting, Macro-Finance Society Meeting, Kenan-Flagler Business School, Tilburg University (Finance), Maastricht University (Finance), Hong Kong University of Science and Technology, Toronto University, Carlson School of Management, Bocconi University and SAFE. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.