We are thankful for helpful comments from Jennifer Huang, Marcin Kacperczyk (discussant), Elisabeth Kempf (discussant), David Ng, Saurin Paten (discussant), Tim Riley (discussant), Davide Tomio, Sumudu Watugala (discussant), as well as seminar participants at the Darden School of Business and the University of Missouri Robert J. Trulaske, Sr. College of Business, 2021 China International Finance Conference, 2021 Northern Finance Association Annual Meeting, 14th Annual Meeting of the Academy of Behavioral Finance & Economics, the 2021 FMA Annual Meeting, the 2021 New Zealand Finance Conference, the 19th Paris December Meeting, the 2022 AFA Annual Meeting, and the 12th Annual Hedge Fund Research Conference,. The authors acknowledge financial support from the European Research Council (ERC) and the Richard A. Mayo Center for Asset Management at the Darden School of Business. We would also like to thank Richard Song for his excellent research assistance.