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Details about Lasse Heje Pedersen

Homepage:http://www.stern.nyu.edu/~lpederse/
Workplace:Finance Department, Stern School of Business, New York University (NYU), (more information at EDIRC)
National Bureau of Economic Research (NBER), (more information at EDIRC)
Centre for Economic Policy Research (CEPR), (more information at EDIRC)

Access statistics for papers by Lasse Heje Pedersen.

Last updated 2011-08-15. Update your information in the RePEc Author Service.

Short-id: ppe174


Jump to Journal Articles Chapters

Working Papers

2013

  1. Buffett's Alpha
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  2. Carry
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2012

  1. Embedded Leverage
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)

2011

  1. Margin-Based Asset Pricing and Deviations from the Law of One Price
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (21)
    See also Journal Article in Review of Financial Studies (2011)

2010

  1. Betting Against Beta
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
  2. Measuring systemic risk
    Working Paper, Federal Reserve Bank of Cleveland Downloads View citations (91)
  3. Two Monetary Tools: Interest Rates and Haircuts
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (7)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) Downloads View citations (15)

    See also Chapter (2011)

2009

  1. Dynamic Trading with Predictable Returns and Transaction Costs
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) Downloads View citations (3)
  2. When Everyone Runs for the Exit
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) Downloads View citations (9)

    See also Journal Article in International Journal of Central Banking (2009)

2008

  1. Carry Trades and Currency Crashes
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (86)
    See also Chapter (2009)

2007

  1. How Sovereign is Sovereign Credit Risk?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (17)
    See also Journal Article in American Economic Journal: Macroeconomics (2011)
  2. Liquidity and Risk Management
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (22)
    See also Journal Article in American Economic Review (2007)
  3. Market Liquidity and Funding Liquidity
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (44)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) Downloads View citations (49)

    See also Journal Article in Review of Financial Studies (2009)
  4. Slow Moving Capital
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (50)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) Downloads View citations (43)

    See also Journal Article in American Economic Review (2007)

2006

  1. Valuation in Over-the-Counter Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) Downloads View citations (1)

    See also Journal Article in Review of Financial Studies (2007)

2005

  1. Demand-Based Option Pricing
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) Downloads View citations (14)

    See also Journal Article in Review of Financial Studies (2009)
  2. Liquidity and Asset Prices
    MPRA Paper, University Library of Munich, Germany Downloads View citations (40)

2004

  1. Asset Pricing with Liquidity Risk
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (9)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) Downloads View citations (10)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) Downloads View citations (22)

    See also Journal Article in Journal of Financial Economics (2005)
  2. Over-the-Counter Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
    See also Journal Article in Econometrica (2005)
  3. Predatory Trading
    Econometric Society 2004 North American Winter Meetings, Econometric Society Downloads View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) Downloads View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads View citations (1)

    See also Journal Article in Journal of Finance (2005)
  4. Valuation in Dynamic Bargaining Markets
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (6)

Journal Articles

2011

  1. How Sovereign Is Sovereign Credit Risk?
    American Economic Journal: Macroeconomics, 2011, 3, (2), 75-103 Downloads View citations (86)
    See also Working Paper (2007)
  2. Margin-based Asset Pricing and Deviations from the Law of One Price
    Review of Financial Studies, 2011, 24, (6), 1980-2022 Downloads View citations (43)
    See also Working Paper (2011)

2009

  1. Demand-Based Option Pricing
    Review of Financial Studies, 2009, 22, (10), 4259-4299 Downloads View citations (54)
    See also Working Paper (2005)
  2. Market Liquidity and Funding Liquidity
    Review of Financial Studies, 2009, 22, (6), 2201-2238 Downloads View citations (425)
    See also Working Paper (2007)
  3. When Everyone Runs for the Exit
    International Journal of Central Banking, 2009, 5, (4), 177-199 Downloads View citations (9)
    See also Working Paper (2009)

2007

  1. Liquidity and Risk Management
    American Economic Review, 2007, 97, (2), 193-197 Downloads View citations (23)
    See also Working Paper (2007)
  2. Slow Moving Capital
    American Economic Review, 2007, 97, (2), 215-220 Downloads View citations (43)
    See also Working Paper (2007)
  3. Valuation in Over-the-Counter Markets
    Review of Financial Studies, 2007, 20, (6), 1865-1900 Downloads View citations (42)
    See also Working Paper (2006)

2005

  1. Asset pricing with liquidity risk
    Journal of Financial Economics, 2005, 77, (2), 375-410 Downloads View citations (339)
    See also Working Paper (2004)
  2. Over-the-Counter Markets
    Econometrica, 2005, 73, (6), 1815-1847 Downloads View citations (110)
    See also Working Paper (2004)
  3. Predatory Trading
    Journal of Finance, 2005, 60, (4), 1825-1863 Downloads View citations (94)
    See also Working Paper (2004)

2004

  1. Adverse Selection and the Required Return
    Review of Financial Studies, 2004, 17, (3), 643-665 Downloads View citations (13)

2003

  1. Modeling Sovereign Yield Spreads: A Case Study of Russian Debt
    Journal of Finance, 2003, 58, (1), 119-159 Downloads View citations (90)

2002

  1. Securities lending, shorting, and pricing
    Journal of Financial Economics, 2002, 66, (2-3), 307-339 Downloads View citations (97)

Chapters

2012

  1. How to Calculate Systemic Risk Surcharges
    A chapter in Quantifying Systemic Risk, 2012, pp 175-212 Downloads
  2. Monitoring Leverage
    A chapter in Risk Topography: Systemic Risk and Macro Modeling, 2012, pp 113-127 Downloads

2011

  1. Two Monetary Tools: Interest Rates and Haircuts
    A chapter in NBER Macroeconomics Annual 2010, Volume 25, 2011, pp 143-180 Downloads View citations (8)
    See also Working Paper (2010)

2009

  1. Carry Trades and Currency Crashes
    A chapter in NBER Macroeconomics Annual 2008, Volume 23, 2009, pp 313-347 Downloads View citations (71)
    See also Working Paper (2008)
 
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