Alex Chinco, Adam D. Clark‐Joseph, and Mao Ye are all at Gies College of Business, University of Illinois at Urbana–Champaign. Mao Ye is also with the NBER. We have received many helpful comments and suggestions from John Campbell; Victor DeMiguel; Xavier Gabaix; Andrew Karolyi; Bryan Kelly; Maureen O'Hara; Vassilis Papavassiliou; Ioanid Rosu; Thomas Ruchti; Gideon Saar; Allan Timmermann; Heather Tookes; Sunil Wahal; and Brian Weller; as well as from seminar participants at the University of Illinois Urbana‐Champaign, the 11th Annual Central Bank Conference on the Microstructure of Financial Markets, the 2016 AFA Annual Meetings, and the NBER EFFE SI. Hao Xu, Ruixuan Zhou, and Rukai Lou provided excellent research assistance. This research is supported by National Science Foundation grant #1352936, which is joint with the Office of Financial Research at the U.S. Department of the Treasury. This work also uses the Extreme Science and Engineering Discovery Environment (XSEDE), which is supported by National Science Foundation grant #OCI‐1053575. We thank David O'Neal of the Pittsburgh Supercomputer Center for his assistance with supercomputing, which was made possible through the XSEDE Extended Collaborative Support Service (ECSS) program. We have read the Journal of Finance's disclosure policy and have no conflicts of interest to disclose.