Adelino is with Duke University's Fuqua School of Business; Lewellen and Sundaram are with Tuck School of Business at Dartmouth. We thank Chuck McLean and Arthur Schmidt of GuideStar USA for their extensive help in providing the data. The paper greatly benefited from conversations with Robin F. Kilfeather‐Mackey, Gary Husband, and Peter Martin of Dartmouth‐Hitchcock, Dianne Ingalls and Scott Frew of Dartmouth College, Michael Pagliaro and Nikki Kraus of Hirtle, Callaghan, & Co., Rick Steele of Longmeadow Capital, LLC., and Diane Daych of Marwood Group. We also thank seminar participants at Dartmouth College, University of Pittsburgh, and University of Washington, as well as Heitor Almeida, Andrew Bernard, Ken French, Robert Hansen, Leonid Kogan, Joshua Schwartzstein, and Jonathan Skinner for their helpful comments and suggestions.