* Nippon Life Professor of Finance and Professor of Economics, Department of Finance, The Wharton School of the University of Pennsylvania, Philadelphia, PA 19104-6367, phone 215-898-3629, fax: 215-573-2207, email: allenf@wharton.upenn.edu.

** Doctoral student, Leonard Stern School of Business of the New York University, New York 10012, phone: 212-998-0883, fax: 212-995-4218, email: llitov@stern.nyu.edu.

*** Associate Professor of Finance, Leonard Stern School of Business of the New York University, New York NY 10012, phone: 212-998-0354, email: jmei@stern.nyu.edu.

We would like to thank Richard Sylla and Niall Ferguson for helpful discussions. The usual disclaimer applies.