Rainy Day Liquidity

The authors are grateful to the insightful suggestions and comments from Agostino Capponi (editor), Haoxiang Zhu (editor), two anonymous reviewers, Mike Abrams, Jack Bao, Daniel Bergstresser, Alex Borisov, Shan Ge, Hui Guo, Anh Le, Pingyi Lou, Greg Nini, Steve Soloria, Zhe Wang, Yaqing Xiao, Hongjun Yan, Motohiro Yogo, Yu Zhang, and Alex Zhou as well as participants at the American Economic Association Poster Session, American Finance Association Poster Session, American Risk and Insurance Association Annual Meeting, Asian Finance Annual Conference, China Accounting and Finance Review Annual Conference, China International Conference in Finance, China International Risk Forum, Eastern Finance Association Annual Meeting, Financial Management Association Annual Meeting, Financial Regulations & Technology Conference, Southern Finance Association Annual Meeting, Brandeis University, Colorado State University, Nankai University, National Chengchi University, Peking University, Shanghai Jiao Tong University, Shanghai University of Finance and Economics, Soochow University, University of Cincinnati, and University of Rhode Island.