Journal of Financial Economics
a University of Venice and SSAV, Department of Economics, Fondamenta San Giobbe 873, 30100 Venice, Italy
b Isenberg School of Management, University of Massachusetts, 121 Presidents Drive, Room 308C, Amherst, MA 01003, United States
c MIT Sloan School of Management, 100 Main Street, E62-618, Cambridge, MA 02142, United States
d AlphaSimplex Group, LLC, United States