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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 (11)

2020

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

2018

  1. Betting Against Correlation: Testing Theories of the Low-Risk Effect
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    See also Journal Article in Journal of Financial Economics (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 (26)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2015) Downloads View citations (17)

    See also Journal Article in Journal of Finance (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 in Journal of Financial Economics (2019)
  5. Risk Everywhere: Modeling and Managing Volatility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (85)
    See also Journal Article in Review of Financial Studies (2018)
  6. Size Matters, if You Control Your Junk
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (29)
    See also Journal Article in Journal of Financial Economics (2018)

2015

  1. Early Option Exercise: Never Say Never
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    See also Journal Article in Journal of Financial Economics (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 in Journal of Financial Economics (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 in Journal of Financial Economics (2014)
  2. Embedded Leverage
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    See also Journal Article in The Review of Asset Pricing Studies (2022)
  3. Measuring Systemic Risk
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (79)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2010) Downloads View citations (267)

    See also Journal Article in Review of Financial Studies (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 (239)
    See also Journal Article in Review of Financial Studies (2011)
  2. Monitoring Leverage
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Chapter (2012)

2010

  1. Two Monetary Tools: Interest Rates and Haircuts
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (71)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) Downloads View citations (74)
    2010 Meeting Papers, Society for Economic Dynamics (2010) Downloads View citations (67)

    See also Chapter (2011)

2009

  1. Dynamic Trading with Predictable Returns and Transaction Costs
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (7)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads View citations (9)

    See also Journal Article in Journal of Finance (2013)
  2. When Everyone Runs for the Exit
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (53)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads View citations (53)

    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 (452)
    Also in Working Papers, Princeton University. Economics Department. (2008) Downloads View citations (15)

    See also Chapter (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 in American Economic Journal: Macroeconomics (2011)
  2. Liquidity and Risk Management
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (65)
    See also Journal Article in American Economic Review (2007)
  3. Market Liquidity and Funding Liquidity
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (100)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) Downloads View citations (107)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) Downloads View citations (76)

    See also Journal Article in Review of Financial Studies (2009)
  4. Slow Moving Capital
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (166)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) Downloads View citations (166)

    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 (4)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) Downloads View citations (2)

    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 (175)
    See also Journal Article in Foundations and Trends(R) in Finance (2006)

2004

  1. Asset Pricing with Liquidity Risk
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (18)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) Downloads View citations (25)
    NBER Working Papers, National Bureau of Economic Research, Inc (2004) Downloads View citations (19)

    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
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in Econometric Society 2004 North American Winter Meetings, Econometric Society (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

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 (2012)

2021

  1. Responsible investing: The ESG-efficient frontier
    Journal of Financial Economics, 2021, 142, (2), 572-597 Downloads View citations (52)

2020

  1. Betting against correlation: Testing theories of the low-risk effect
    Journal of Financial Economics, 2020, 135, (3), 629-652 Downloads View citations (12)
    See also Working Paper (2018)

2019

  1. Economics with Market Liquidity Risk
    Critical Finance Review, 2019, 8, (1-2), 111-125 Downloads View citations (3)
  2. Generalized recovery
    Journal of Financial Economics, 2019, 133, (1), 154-174 Downloads View citations (7)
    See also Working Paper (2018)
  3. Quality minus junk
    Review of Accounting Studies, 2019, 24, (1), 34-112 Downloads View citations (32)

2018

  1. Carry
    Journal of Financial Economics, 2018, 127, (2), 197-225 Downloads
    See also Working Paper (2013)
  2. Efficiently Inefficient Markets for Assets and Asset Management
    Journal of Finance, 2018, 73, (4), 1663-1712 Downloads View citations (25)
    See also Working Paper (2018)
  3. Risk Everywhere: Modeling and Managing Volatility
    Review of Financial Studies, 2018, 31, (7), 2729-2773 Downloads View citations (81)
    See also Working Paper (2018)
  4. Size matters, if you control your junk
    Journal of Financial Economics, 2018, 129, (3), 479-509 Downloads View citations (30)
    See also Working Paper (2018)

2017

  1. Measuring Systemic Risk
    Review of Financial Studies, 2017, 30, (1), 2-47 Downloads View citations (440)
    See also Working Paper (2012)

2016

  1. Dynamic portfolio choice with frictions
    Journal of Economic Theory, 2016, 165, (C), 487-516 Downloads View citations (52)
  2. Early option exercise: Never say never
    Journal of Financial Economics, 2016, 121, (2), 278-299 Downloads View citations (9)
    See also Working Paper (2015)

2014

  1. Betting against beta
    Journal of Financial Economics, 2014, 111, (1), 1-25 Downloads View citations (444)
    See also Working Paper (2012)

2013

  1. Dynamic Trading with Predictable Returns and Transaction Costs
    Journal of Finance, 2013, 68, (6), 2309-2340 Downloads View citations (129)
    See also Working Paper (2009)
  2. Value and Momentum Everywhere
    Journal of Finance, 2013, 68, (3), 929-985 Downloads View citations (642)

2012

  1. Time series momentum
    Journal of Financial Economics, 2012, 104, (2), 228-250 Downloads View citations (423)

2011

  1. How Sovereign Is Sovereign Credit Risk?
    American Economic Journal: Macroeconomics, 2011, 3, (2), 75-103 Downloads View citations (517)
    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 (221)
    See also Working Paper (2011)

2009

  1. Demand-Based Option Pricing
    Review of Financial Studies, 2009, 22, (10), 4259-4299 Downloads View citations (199)
    See also Working Paper (2005)
  2. Market Liquidity and Funding Liquidity
    Review of Financial Studies, 2009, 22, (6), 2201-2238 Downloads View citations (2048)
    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 (53)
    See also Working Paper (2009)

2007

  1. Liquidity and Risk Management
    American Economic Review, 2007, 97, (2), 193-197 Downloads View citations (65)
    See also Working Paper (2007)
  2. Slow Moving Capital
    American Economic Review, 2007, 97, (2), 215-220 Downloads View citations (168)
    See also Working Paper (2007)
  3. Valuation in Over-the-Counter Markets
    Review of Financial Studies, 2007, 20, (6), 1865-1900 Downloads View citations (185)
    See also Working Paper (2006)

2006

  1. Liquidity and Asset Prices
    Foundations and Trends(R) in Finance, 2006, 1, (4), 269-364 Downloads View citations (43)
    See also Working Paper (2005)

2005

  1. Asset pricing with liquidity risk
    Journal of Financial Economics, 2005, 77, (2), 375-410 Downloads View citations (1045)
    See also Working Paper (2004)
  2. Over-the-Counter Markets
    Econometrica, 2005, 73, (6), 1815-1847 Downloads View citations (328)
    See also Working Paper (2004)
  3. Predatory Trading
    Journal of Finance, 2005, 60, (4), 1825-1863 Downloads View citations (143)
    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 (31)

2003

  1. Modeling Sovereign Yield Spreads: A Case Study of Russian Debt
    Journal of Finance, 2003, 58, (1), 119-159 Downloads View citations (184)

2002

  1. Securities lending, shorting, and pricing
    Journal of Financial Economics, 2002, 66, (2-3), 307-339 Downloads View citations (230)

Books

2015

  1. Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined
    Economics Books, Princeton University Press View citations (27)

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 (4)

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 (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 (45)
    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 (260)
    See also Working Paper (2008)
 
Page updated 2023-02-04