Industry Distress Anomaly

We are grateful to Andy Abel, Frederico Belo, Pierre Collin-Dufresne, Alexandre Corhay, Itamar Drechsler, Jan Eberly, Lorenzo Garlappi, Itay Goldstein, Joao Gomes, Urban Jermann, Don Keim, Lars-Alexander Kuehn, Xiaoji Lin, Erwan Morellec, Krishna Ramaswamy, Nick Roussanov, Lukas Schmid, Rob Stambaugh, Jincheng Tong, Colin Ward, Jessica Wachter, Neng Wang, Wei Xiong, and participants at CICF, CKGSB Finance Workshop, CUHK-Shenzhen, Federal Reserve Bank of Richmond, Finance, Organizations and Markets (FOM) Research Group Conference, HKUST and Jinan Macro Workshop, HKUST, Macro Finance Society Workshop, McGill-HEC Winter Conference, MFA, EFA, FMCG, NBER Summer Institute (Capital Markets and the Economy), NFA, Peking University, PHBS Workshop on Macroeconomics and Finance, Stanford SITE, Swiss Finance Institute at EPFL, the Conference on Systemic Risk and Financial Stability, University of Texas at Dallas, Wharton Micro Virtual Seminar, and Wharton MLG seminar for comments. Winston Dou is grateful for the financial support of the Rodney L. White Center for Financial Research, the Mack Institute for Innovation Management, and the Golub Faculty Scholar Award at Wharton. Yan Ji is grateful for the financial support from the National Natural Science Foundation of China (#72322023) and the Hong Kong RGC GRF Grant (#16602022). The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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