Asset Pricing with Endogenously Uninsurable Tail Risk
---- Acknowledgments ----
The authors would like to thank YiLi Chien, Barney Hartman-Glaser, Urban Jermann, Hanno Lustig, Tom Sargent, Lukas Schmid, Larry Schmidt, Stijn Van Nieuwerburgh, and seminar participants at the 2016 NBER AP meetings, 2016 Minnesota Macro Workshop, 2017 Minnesota Macro-Asset Pricing Conference, 2017 SITE Workshop, Stanford University, 2016 UBC Winter Finance Conference, Booth Finance Workshop at the University of Chicago, Money and Banking Workshop at University of Chicago, University of North Carolina, University of Rochester, 2017 WFA Annual Meetings, Wharton International Finance Workshop for their helpful comments. The authors would also like to thank Jincheng Tong, Yuki Yao, and Chao Ying for their assistance and comments on the paper. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.