Our paper proceeds as follows. Section 2 reviews our data, and describes the economic state variables and risk factors used in the study. Section 3 reviews the investor types considered in our study, and provides details on the methodology. Section 4 presents the main empirical results, while Section 5 conducts an attribution analysis and Section 6 provides robustness results. Finally, Section 7 concludes. Details on data sources, variable construction, and additional robustness results are provided in a series of appendices available from the web
