The authors thank an anonymous referee and associate editor for comments that significantly improved the paper. They are grateful to Stephen Dimmock, Chuan Yang Hwang, Asad Kausar, John Griffin, Bin Ke, Mei Lin, Christophe Spaenjers, Johan Sulaeman, Sheridan Titman, K.C. John Wei, Fei Xie, and seminar participants at the European Finance Association (Vienna) and Nanyang Business School for helpful comments. Kenny Phua provided excellent research assistance. This paper was previously titled “Trust and Market Efficiency.” All errors are the authors’ own.