[1
]Michael Bailey is a Senior Economic Research Scientist, Facebook, Inc., Menlo Park,
California.
[2
]Rachel Cao is a PhD candidate in economics, Harvard University, Cambridge, Massachusetts.
[3
]Theresa Kuchler is an Assistant Professor of Finance, at the Stern School of Business,
New York University, New York City, New York.
[4
]Johannes Stroebel is a Professor of Finance, at the Stern School of Business, New
York University, New York City, New York. Stroebel is the corresponding author at
.
[5
]Arlene Wong is an Assistant Professor of Economics at Princeton University, Princeton,
New Jersey.