Nontraded Sector Growth Risks and Economic Sizes in International Asset Pricing

The authors are very grateful to two anonymous referees, an associated editor, and Prof. Agostino Capponi (the editor) for numerous insightful comments and suggestions. The authors thank Elias Albagli, Jack Bao, Gurdip Bakshi, Douglas Breeden, Francesca Carrieri, Hui Chen, Ric Colacito, Max Croce, Bernard Dumas, Philip Dybvig, Vihang Errunza, Wayne Ferson, Xavier Giroud, Tarek Hassan, Kan Huang, Kris Jacobs, Timothy Johnson, Scott Joslin, Greg Kadlec, Leonid Kogan, Raman Kumar, Brandon Lee, Nanqi Li, Hong Liu, Andy Lo, Andrey Malenko, Asaf Manela, Thomas Maurer, Ian Martin, Indrajit Mitra, Claudia Moise, Will Mullins, Stewart Myers, Stijn Van Nieuwerburgh, Jun Pan, George Pennacchi, Matt Ringgenberg, Roberto Rigobon, Sergei Sarkissian, Felipe Severino, Andreas Stathopoulos, Vijay Singal, Ken Singleton, Chris Telmer, Anh Tran, Andrea Vedolin, Adrien Verdelhan, John Wei, Shixiang Xia, and Richard Zeckhauser as well as seminar participants at American Finance Association, Boston University, Case Western Reserve University, Hong Kong Polytechnic University, Indiana University, McGill University, Massachusetts Institute of Technologies, Stanford University, University of Houston, University of North Carolina at Chapel Hill, University of Southern California, University of Texas at Dallas, University of Wisconsin - Madison, Virginia Tech, and Washington University in St. Louis for many valuable discussions and insights on this work. All remaining errors are ours.