The authors are grateful for support from PeRCent, which receives base funding from the Danish pension industry and CBS. The authors appreciate assistance from Statistics Denmark and comments from Gene Amromin (discussant), Steffen Andersen, João Cocco, Søren Leth-Pedersen (discussant), Julie Marx, Kathrin Schlafmann, three anonymous referees, the editor, and seminar participants at Danmarks Nationalbank, the PeRCent Conference (Copenhagen), the Centre for Empirical Finance Workshop (Brunel University), Lund University, and the Midwest Finance Association.