Ni is at the Hong Kong University of Science and Technology. Pan is at the MIT Sloan School of Management and NBER.
Poteshman is at the University of Illinois at Urbana‐Champaign. We thank Joe Levin, Eileen Smith, and Dick Thaler for assistance with the data used in this paper. We thank Bob Whaley and an anonymous referee for extensive and insightful comments.
We also benefited from the comments of Joe Chen, Jun Liu, Neil Pearson, Josh Pollet, Rob Stambaugh (the editor), Dimitri Vayanos, Jiang Wang, Josh White, and seminar participants at the University of British Columbia, the University of Illinois at Urbana‐Champaign, the University of Virginia, Vanderbilt University, and the 2006 AFA meetings.
Poteshman thanks the Office for Futures and Options Research at the University of Illinois at Urbana‐Champaign for financial support.
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