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Details about Lasse Heje Pedersen

Homepage:http://www.lhpedersen.com/
Workplace:Institut for Finansiering (Department of Finance), Copenhagen Business School, (more information at EDIRC)
Centre for Economic Policy Research (CEPR), (more information at EDIRC)
Finance Department, Stern School of Business, New York University (NYU), (more information at EDIRC)

Access statistics for papers by Lasse Heje Pedersen.

Last updated 2022-08-04. Update your information in the RePEc Author Service.

Short-id: ppe174


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Working Papers

2021

  1. Is There A Replication Crisis In Finance?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (22)

2020

  1. Principal Portfolios
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2020) Downloads

2018

  1. Betting Against Correlation: Testing Theories of the Low-Risk Effect
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    See also Journal Article Betting against correlation: Testing theories of the low-risk effect, Journal of Financial Economics, Elsevier (2020) Downloads View citations (31) (2020)
  2. Deep Value
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
  3. Efficiently Inefficient Markets for Assets and Asset Management
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (37)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2015) Downloads View citations (17)

    See also Journal Article Efficiently Inefficient Markets for Assets and Asset Management, Journal of Finance, American Finance Association (2018) Downloads View citations (36) (2018)
  4. Generalized Recovery
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in 2016 Meeting Papers, Society for Economic Dynamics (2016) Downloads

    See also Journal Article Generalized recovery, Journal of Financial Economics, Elsevier (2019) Downloads View citations (8) (2019)
  5. Risk Everywhere: Modeling and Managing Volatility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (131)
    See also Journal Article Risk Everywhere: Modeling and Managing Volatility, The Review of Financial Studies, Society for Financial Studies (2018) Downloads View citations (127) (2018)
  6. Size Matters, if You Control Your Junk
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (37)
    See also Journal Article Size matters, if you control your junk, Journal of Financial Economics, Elsevier (2018) Downloads View citations (37) (2018)

2015

  1. Early Option Exercise: Never Say Never
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    See also Journal Article Early option exercise: Never say never, Journal of Financial Economics, Elsevier (2016) Downloads View citations (12) (2016)

2013

  1. Buffett's Alpha
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) Downloads View citations (1)
  2. Carry
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) Downloads

    See also Journal Article Carry, Journal of Financial Economics, Elsevier (2018) Downloads (2018)

2012

  1. Betting Against Beta
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (6)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) Downloads View citations (17)

    See also Journal Article Betting against beta, Journal of Financial Economics, Elsevier (2014) Downloads View citations (509) (2014)
  2. Embedded Leverage
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    See also Journal Article Embedded Leverage, The Review of Asset Pricing Studies, Society for Financial Studies (2022) Downloads (2022)
  3. Measuring Systemic Risk
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (81)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2010) Downloads View citations (303)

    See also Journal Article Measuring Systemic Risk, The Review of Financial Studies, Society for Financial Studies (2017) Downloads View citations (584) (2017)

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 (263)
    See also Journal Article Margin-based Asset Pricing and Deviations from the Law of One Price, The Review of Financial Studies, Society for Financial Studies (2011) Downloads View citations (249) (2011)
  2. Monitoring Leverage
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Chapter Monitoring Leverage, NBER Chapters, National Bureau of Economic Research, Inc (2012) Downloads View citations (2) (2012)

2010

  1. Two Monetary Tools: Interest Rates and Haircuts
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (77)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) Downloads View citations (74)
    2010 Meeting Papers, Society for Economic Dynamics (2010) Downloads View citations (70)

    See also Chapter Two Monetary Tools: Interest Rates and Haircuts, NBER Chapters, National Bureau of Economic Research, Inc (2011) Downloads View citations (49) (2011)

2009

  1. Dynamic Trading with Predictable Returns and Transaction Costs
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) Downloads View citations (8)

    See also Journal Article Dynamic Trading with Predictable Returns and Transaction Costs, Journal of Finance, American Finance Association (2013) Downloads View citations (158) (2013)
  2. When Everyone Runs for the Exit
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (58)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) Downloads View citations (58)

    See also Journal Article When Everyone Runs for the Exit, International Journal of Central Banking, International Journal of Central Banking (2009) Downloads View citations (58) (2009)

2008

  1. Carry Trades and Currency Crashes
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (486)
    Also in Working Papers, Princeton University. Economics Department. (2008) Downloads View citations (44)

    See also Chapter Carry Trades and Currency Crashes, NBER Chapters, National Bureau of Economic Research, Inc (2009) Downloads View citations (269) (2009)

2007

  1. How Sovereign is Sovereign Credit Risk?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (49)
    See also Journal Article How Sovereign Is Sovereign Credit Risk?, American Economic Journal: Macroeconomics, American Economic Association (2011) Downloads View citations (583) (2011)
  2. Liquidity and Risk Management
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (68)
    See also Journal Article Liquidity and Risk Management, American Economic Review, American Economic Association (2007) Downloads View citations (68) (2007)
  3. Market Liquidity and Funding Liquidity
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (101)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) Downloads View citations (108)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) Downloads View citations (76)

    See also Journal Article Market Liquidity and Funding Liquidity, The Review of Financial Studies, Society for Financial Studies (2009) Downloads View citations (2220) (2009)
  4. Slow Moving Capital
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (178)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) Downloads View citations (179)

    See also Journal Article Slow Moving Capital, American Economic Review, American Economic Association (2007) Downloads View citations (180) (2007)

2006

  1. Valuation in Over-the-Counter Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) Downloads View citations (2)

    See also Journal Article Valuation in Over-the-Counter Markets, The Review of Financial Studies, Society for Financial Studies (2007) Downloads View citations (201) (2007)

2005

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

    See also Journal Article Demand-Based Option Pricing, The Review of Financial Studies, Society for Financial Studies (2009) Downloads View citations (218) (2009)
  2. Liquidity and Asset Prices
    MPRA Paper, University Library of Munich, Germany Downloads View citations (177)
    See also Journal Article Liquidity and Asset Prices, Foundations and Trends(R) in Finance, now publishers (2006) Downloads View citations (48) (2006)

2004

  1. Asset Pricing with Liquidity Risk
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (18)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) Downloads View citations (19)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) Downloads View citations (26)

    See also Journal Article Asset pricing with liquidity risk, Journal of Financial Economics, Elsevier (2005) Downloads View citations (1128) (2005)
  2. Over-the-Counter Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
    See also Journal Article Over-the-Counter Markets, Econometrica, Econometric Society (2005) Downloads View citations (368) (2005)
  3. Predatory Trading
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) Downloads View citations (1)
    Econometric Society 2004 North American Winter Meetings, Econometric Society (2004) Downloads View citations (1)

    See also Journal Article Predatory Trading, Journal of Finance, American Finance Association (2005) Downloads View citations (143) (2005)
  4. Valuation in Dynamic Bargaining Markets
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (6)

Journal Articles

2022

  1. Embedded Leverage
    (Asset pricing with liquidity risk)
    The Review of Asset Pricing Studies, 2022, 12, (1), 1-52 Downloads
    See also Working Paper Embedded Leverage, NBER Working Papers (2012) Downloads View citations (7) (2012)

2021

  1. Responsible investing: The ESG-efficient frontier
    Journal of Financial Economics, 2021, 142, (2), 572-597 Downloads View citations (164)

2020

  1. Betting against correlation: Testing theories of the low-risk effect
    Journal of Financial Economics, 2020, 135, (3), 629-652 Downloads View citations (31)
    See also Working Paper Betting Against Correlation: Testing Theories of the Low-Risk Effect, CEPR Discussion Papers (2018) Downloads View citations (1) (2018)

2019

  1. Economics with Market Liquidity Risk
    Critical Finance Review, 2019, 8, (1-2), 111-125 Downloads View citations (5)
  2. Generalized recovery
    Journal of Financial Economics, 2019, 133, (1), 154-174 Downloads View citations (8)
    See also Working Paper Generalized Recovery, CEPR Discussion Papers (2018) Downloads (2018)
  3. Quality minus junk
    Review of Accounting Studies, 2019, 24, (1), 34-112 Downloads View citations (34)

2018

  1. Carry
    Journal of Financial Economics, 2018, 127, (2), 197-225 Downloads
    See also Working Paper Carry, CEPR Discussion Papers (2013) Downloads (2013)
  2. Efficiently Inefficient Markets for Assets and Asset Management
    Journal of Finance, 2018, 73, (4), 1663-1712 Downloads View citations (36)
    See also Working Paper Efficiently Inefficient Markets for Assets and Asset Management, CEPR Discussion Papers (2018) Downloads View citations (37) (2018)
  3. Risk Everywhere: Modeling and Managing Volatility
    The Review of Financial Studies, 2018, 31, (7), 2729-2773 Downloads View citations (127)
    See also Working Paper Risk Everywhere: Modeling and Managing Volatility, CEPR Discussion Papers (2018) Downloads View citations (131) (2018)
  4. Size matters, if you control your junk
    Journal of Financial Economics, 2018, 129, (3), 479-509 Downloads View citations (37)
    See also Working Paper Size Matters, if You Control Your Junk, CEPR Discussion Papers (2018) Downloads View citations (37) (2018)

2017

  1. Measuring Systemic Risk
    The Review of Financial Studies, 2017, 30, (1), 2-47 Downloads View citations (584)
    See also Working Paper Measuring Systemic Risk, CEPR Discussion Papers (2012) Downloads View citations (81) (2012)

2016

  1. Dynamic portfolio choice with frictions
    Journal of Economic Theory, 2016, 165, (C), 487-516 Downloads View citations (68)
  2. Early option exercise: Never say never
    Journal of Financial Economics, 2016, 121, (2), 278-299 Downloads View citations (12)
    See also Working Paper Early Option Exercise: Never Say Never, CEPR Discussion Papers (2015) Downloads (2015)

2014

  1. Betting against beta
    Journal of Financial Economics, 2014, 111, (1), 1-25 Downloads View citations (509)
    See also Working Paper Betting Against Beta, Swiss Finance Institute Research Paper Series (2012) Downloads View citations (6) (2012)

2013

  1. Dynamic Trading with Predictable Returns and Transaction Costs
    Journal of Finance, 2013, 68, (6), 2309-2340 Downloads View citations (158)
    See also Working Paper Dynamic Trading with Predictable Returns and Transaction Costs, NBER Working Papers (2009) Downloads View citations (9) (2009)
  2. Value and Momentum Everywhere
    Journal of Finance, 2013, 68, (3), 929-985 Downloads View citations (746)

2012

  1. Time series momentum
    Journal of Financial Economics, 2012, 104, (2), 228-250 Downloads View citations (466)

2011

  1. How Sovereign Is Sovereign Credit Risk?
    American Economic Journal: Macroeconomics, 2011, 3, (2), 75-103 Downloads View citations (583)
    See also Working Paper How Sovereign is Sovereign Credit Risk?, NBER Working Papers (2007) Downloads View citations (49) (2007)
  2. Margin-based Asset Pricing and Deviations from the Law of One Price
    The Review of Financial Studies, 2011, 24, (6), 1980-2022 Downloads View citations (249)
    See also Working Paper Margin-Based Asset Pricing and Deviations from the Law of One Price, NBER Working Papers (2011) Downloads View citations (263) (2011)

2009

  1. Demand-Based Option Pricing
    The Review of Financial Studies, 2009, 22, (10), 4259-4299 Downloads View citations (218)
    See also Working Paper Demand-Based Option Pricing, CEPR Discussion Papers (2005) Downloads View citations (14) (2005)
  2. Market Liquidity and Funding Liquidity
    The Review of Financial Studies, 2009, 22, (6), 2201-2238 Downloads View citations (2220)
    See also Working Paper Market Liquidity and Funding Liquidity, CEPR Discussion Papers (2007) Downloads View citations (101) (2007)
  3. When Everyone Runs for the Exit
    International Journal of Central Banking, 2009, 5, (4), 177-199 Downloads View citations (58)
    See also Working Paper When Everyone Runs for the Exit, NBER Working Papers (2009) Downloads View citations (58) (2009)

2007

  1. Liquidity and Risk Management
    American Economic Review, 2007, 97, (2), 193-197 Downloads View citations (68)
    See also Working Paper Liquidity and Risk Management, NBER Working Papers (2007) Downloads View citations (68) (2007)
  2. Slow Moving Capital
    American Economic Review, 2007, 97, (2), 215-220 Downloads View citations (180)
    See also Working Paper Slow Moving Capital, CEPR Discussion Papers (2007) Downloads View citations (178) (2007)
  3. Valuation in Over-the-Counter Markets
    The Review of Financial Studies, 2007, 20, (6), 1865-1900 Downloads View citations (201)
    See also Working Paper Valuation in Over-the-Counter Markets, NBER Working Papers (2006) Downloads View citations (4) (2006)

2006

  1. Liquidity and Asset Prices
    Foundations and Trends(R) in Finance, 2006, 1, (4), 269-364 Downloads View citations (48)
    See also Working Paper Liquidity and Asset Prices, MPRA Paper (2005) Downloads View citations (177) (2005)

2005

  1. Asset pricing with liquidity risk
    Journal of Financial Economics, 2005, 77, (2), 375-410 Downloads View citations (1128)
    See also Working Paper Asset Pricing with Liquidity Risk, CEPR Discussion Papers (2004) Downloads View citations (18) (2004)
  2. Over-the-Counter Markets
    Econometrica, 2005, 73, (6), 1815-1847 Downloads View citations (368)
    See also Working Paper Over-the-Counter Markets, NBER Working Papers (2004) Downloads View citations (10) (2004)
  3. Predatory Trading
    Journal of Finance, 2005, 60, (4), 1825-1863 Downloads View citations (143)
    See also Working Paper Predatory Trading, CEPR Discussion Papers (2004) Downloads View citations (1) (2004)

2004

  1. Adverse Selection and the Required Return
    The Review of Financial Studies, 2004, 17, (3), 643-665 Downloads View citations (33)

2003

  1. Modeling Sovereign Yield Spreads: A Case Study of Russian Debt
    Journal of Finance, 2003, 58, (1), 119-159 Downloads View citations (193)

2002

  1. Securities lending, shorting, and pricing
    Journal of Financial Economics, 2002, 66, (2-3), 307-339 Downloads View citations (249)

Books

2015

  1. Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined
    Economics Books, Princeton University Press View citations (32)

2013

  1. Market Liquidity
    Cambridge Books, Cambridge University Press
    Also in Cambridge Books, Cambridge University Press (2013)

Chapters

2015

  1. Introduction
    A chapter in Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined, 2015 Downloads

2013

  1. TAXING SYSTEMIC RISK
    Chapter 4 in Managing and Measuring Risk Emerging Global Standards and Regulations After the Financial Crisis, 2013, pp 99-122 Downloads View citations (5)

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 View citations (2)
    See also Working Paper Monitoring Leverage, Cowles Foundation for Research in Economics, Yale University (2011) Downloads (2011)

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 (49)
    See also Working Paper Two Monetary Tools: Interest Rates and Haircuts, National Bureau of Economic Research, Inc (2010) Downloads View citations (77) (2010)

2009

  1. Carry Trades and Currency Crashes
    A chapter in NBER Macroeconomics Annual 2008, Volume 23, 2009, pp 313-347 Downloads View citations (269)
    See also Working Paper Carry Trades and Currency Crashes, National Bureau of Economic Research, Inc (2008) Downloads View citations (486) (2008)
 
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