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We are grateful for helpful comments from Dilip Abreu, William Allen, Ed Altman, Yakov Amihud, Patrick Bolton, Menachem Brenner, Robert Engle, Stephen Figlewski, Gary Gorton, Rick Green, Joel Hasbrouck, Burt Malkiel, David Modest, Michael Rashes, Jose\u0301 Scheinkman, Bill Silber, Ken Singleton, Jeremy Stein, Marti Subrahmanyam, Peter S\u00f8rensen, Nikola Tarashev, Jeff Wurgler, an anonymous referee, and seminar participants at NYU, McGill, Duke University, Carnegie Mellon University, Washington University, Ohio State University, University of Copenhagen, London School of Economics, University of Rochester, University of Chicago, UCLA, Bank of England, University of Amsterdam, Tilburg University, Wharton, Harvard University, and New York Federal Reserve Bank as well as conference participants at Stanford's SITE conference and the annual meeting of the European Finance Association. Brunnermeier acknowledges research support from the National Science Foundation","*Brunnermeier is affiliated with Princeton University and CEPR","Pedersen is at New York University and NBER. We are grateful for helpful comments from Dilip Abreu, William Allen, Ed Altman, Yakov Amihud, Patrick Bolton, Menachem Brenner, Robert Engle, Stephen Figlewski, Gary Gorton, Rick Green, Joel Hasbrouck, Burt Malkiel, David Modest, Michael Rashes, Jose\u0301 Scheinkman, Bill Silber, Ken Singleton, Jeremy Stein, Marti Subrahmanyam, Peter S\u00f8rensen, Nikola Tarashev, Jeff Wurgler, an anonymous referee, and seminar participants at NYU, McGill, Duke University, Carnegie Mellon University, Washington University, Ohio State University, University of Copenhagen, London School of Economics, University of Rochester, University of Chicago, UCLA, Bank of England, University of Amsterdam, Tilburg University, Wharton, Harvard University, and New York Federal Reserve Bank as well as conference participants at Stanford's SITE conference and the annual meeting of the European Finance Association. Brunnermeier acknowledges research support from the National Science Foundation"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"*Brunnermeier is affiliated with Princeton University and CEPR; Pedersen is at New York University and NBER. We are grateful for helpful comments from Dilip Abreu, William Allen, Ed Altman, Yakov Amihud, Patrick Bolton, Menachem Brenner, Robert Engle, Stephen Figlewski, Gary Gorton, Rick Green, Joel Hasbrouck, Burt Malkiel, David Modest, Michael Rashes, Jose\u0301 Scheinkman, Bill Silber, Ken Singleton, Jeremy Stein, Marti Subrahmanyam, Peter S\u00f8rensen, Nikola Tarashev, Jeff Wurgler, an anonymous referee, and seminar participants at NYU, McGill, Duke University, Carnegie Mellon University, Washington University, Ohio State University, University of Copenhagen, London School of Economics, University of Rochester, University of Chicago, UCLA, Bank of England, University of Amsterdam, Tilburg University, Wharton, Harvard University, and New York Federal Reserve Bank as well as conference participants at Stanford's SITE conference and the annual meeting of the European Finance Association. 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