Asset Pricing with Endogenously Uninsurable Tail Risk

The authors would like to thank V.V. Chari, YiLi Chien, David Evans, Barney Hatman-Glaser, Urban Jermann, Hanno Lustig, Tom Sargent, Lukas Schmid, Stijn Van Nieuwerburgh, Jessica Wachter, and seminar participants at the 2016 NBER AP meetings, the Minnesota Macro Workshop, the 2017 Minnesota Macro Asset Pricing Conference, the 2017 SITE Workshop, Stanford University, the UBC winter finance conference, Booth Finance Workshop at the University of Chicago, the Money and Banking Workshop at University of Chicago, the University of North Carolina, the University of Rochester, the 2017 WFA Annual Meetings, the Wharton International Finance Workshop, and the Utah Winter Finance Conference for their helpful comments. The authors would also like to thank Jincheng Tong, Yuki Yao, and Chao Ying for their assistance and comments on the paper. We thank Joan Gieseke and James Holt for excellent editorial assistance. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

• August 28, 2018