The authors thank Yona Rubinstein, Preston McAfee, and Ken Hendricks for helpful advice, as well as seminar participants at Boston Federal Reserve, Brown University, Columbia University, Hong Kong University, and NBER, University of Pennsylvania. Referees provided helpful comments in preparation of the final version. The authors thank Weilin Liu, Tao Yang, and Yujin Cao for their excellent RA work. Cai acknowledges the support from the Key Laboratory of Mathematical Economics and Quantity Finance (Peking University), China's Ministry of Education (LMEQF).
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