The authors are grateful to Lukas Schmid (editor) and two anonymous referees for helpful comments. They thank Pierre Collin-Dufresne, Yufeng Wu, Semyon Malamud, Donald Keim, Malcolm Baker, Eric Jondeau, and Michael Rockinger as well as the seminar participants at the University of Lausanne, École Polytechnique Fédérale de Lausanne, the Wharton School of the University of Pennsylvania, Northern Finance Association Meeting 2022, Capital Fund Management Research Seminar, Swiss Finance Institute Research days, 14th International Risk Forum, and the Society of Quantitative Analysis for discussions and comments.