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We are grateful to Cam Harvey (the Editor), the Associate Editor, two anonymous reviewers, Darrell Duffie, Mark Kritzman, Krishna Ramaswamy, Dimitri Vayanos, Adrien Verdelhan, and Haoxiang Zhu for valuable discussions. We are also grateful for comments from seminar participants at Boston University, Shanghai University of Finance and Economics, University of Maryland, University of Michigan, University of Pennsylvania, University of Western Australia, Capula Investment Management LLC, 2011 NBER Asset Pricing Program Spring Meeting, Moody's 2011 Credit Risk Conference, Morgan Stanley, and Q Group 2012 Spring Conference"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Grace Xing Hu is from Faculty of Business and Economics, University of Hong Kong, and Jun Pan and Jiang Wang are from MIT Sloan School of Management, CAFR, and NBER. 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