NBER Working Paper No. 23231
---- Acknowledgments ----
We are grateful for the comments of Dan Covitz, Yesol Huh, Sebastian Infante, Dan Li, and seminar participants at the Federal Reserve Board and UCLA. The analysis and conclusions set forth are those of the authors and do not indicate concurrence by other members of the research staff or the Federal Reserve Board. All errors are our responsibility. 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 Francis A. Longstaff ----
The only source of financial support for this research was my regular salary as a UCLA Faculty Member. No outside financial support for this research was received. No other party had the right to review the results of the paper prior to publication.
In the past three years, I have worked/consulted for the UCLA Anderson School, University of California at Berkeley, Blackrock, PIMCO, Simplex Holdings, CALPERS, Fidelity, and Structured Portfolio Management.