Details about Lasse Heje Pedersen

Access statistics for papers by Lasse Heje Pedersen.

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

Short-id: ppe174

Working Papers

2021

1. Is There A Replication Crisis In Finance?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (24)

2020

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

2018

3. Betting Against Correlation: Testing Theories of the Low-Risk Effect
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
   See also Journal Article Betting against correlation: Testing theories of the low-risk effect, Journal of Financial Economics, Elsevier (2020) View citations (34) (2020)
4. Deep Value
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
5. Efficiently Inefficient Markets for Assets and Asset Management
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (43)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2015) View citations (18)
   See also Journal Article Efficiently Inefficient Markets for Assets and Asset Management, Journal of Finance, American Finance Association (2018) View citations (42) (2018)
6. Generalized Recovery
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
   Also in 2016 Meeting Papers, Society for Economic Dynamics (2016)
   See also Journal Article Generalized recovery, Journal of Financial Economics, Elsevier (2019) View citations (8) (2019)
7. Risk Everywhere: Modeling and Managing Volatility
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (151)
   See also Journal Article Risk Everywhere: Modeling and Managing Volatility, The Review of Financial Studies, Society for Financial Studies (2018) View citations (147) (2018)
8. Size Matters, if You Control Your Junk
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (40)
   See also Journal Article Size matters, if you control your junk, Journal of Financial Economics, Elsevier (2018) View citations (37) (2018)

2015

9. Early Option Exercise: Never Say Never
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article Early option exercise: Never say never, Journal of Financial Economics, Elsevier (2016) View citations (15) (2016)

2013

10. Buffett's Alpha
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) View citations (1)
11. Carry
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013)
    See also Journal Article Carry, Journal of Financial Economics, Elsevier (2018) (2018)

2012

12. Betting Against Beta
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (6)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (17)
    See also Journal Article Betting against beta, Journal of Financial Economics, Elsevier (2014) View citations (531) (2014)
13. Embedded Leverage
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
    See also Journal Article Embedded Leverage, The Review of Asset Pricing Studies, Society for Financial Studies (2022) (2022)
14. Measuring Systemic Risk
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (82)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2010) View citations (303)
    See also Journal Article Measuring Systemic Risk, The Review of Financial Studies, Society for Financial Studies (2017) View citations (651) (2017)

2011

15. Margin-Based Asset Pricing and Deviations from the Law of One Price
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (276)
    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) View citations (263) (2011)
16. Monitoring Leverage
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Chapter Monitoring Leverage, NBER Chapters, National Bureau of Economic Research, Inc (2012) View citations (2) (2012)

2010

17. Two Monetary Tools: Interest Rates and Haircuts
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (78)
    Also in 2010 Meeting Papers, Society for Economic Dynamics (2010) View citations (71)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (75)
    See also Chapter Two Monetary Tools: Interest Rates and Haircuts, NBER Chapters, National Bureau of Economic Research, Inc (2011) View citations (55) (2011)

2009

18. Dynamic Trading with Predictable Returns and Transaction Costs
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (8)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (9)
    See also Journal Article Dynamic Trading with Predictable Returns and Transaction Costs, Journal of Finance, American Finance Association (2013) View citations (172) (2013)
19. When Everyone Runs for the Exit
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (58)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) View citations (58)
    See also Journal Article When Everyone Runs for the Exit, International Journal of Central Banking, International Journal of Central Banking (2009) View citations (58) (2009)

2008

20. Carry Trades and Currency Crashes
    Working Papers, Princeton University. Economics Department. View citations (55)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2008) View citations (496)
    See also Chapter Carry Trades and Currency Crashes, NBER Chapters, National Bureau of Economic Research, Inc (2009) View citations (271) (2009)

2007

21. How Sovereign is Sovereign Credit Risk?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (50)
    See also Journal Article How Sovereign Is Sovereign Credit Risk?, American Economic Journal: Macroeconomics, American Economic Association (2011) View citations (613) (2011)
22. Liquidity and Risk Management
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (71)
    See also Journal Article Liquidity and Risk Management, American Economic Review, American Economic Association (2007) View citations (71) (2007)
23. Market Liquidity and Funding Liquidity
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (107)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations (101)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) View citations (75)
    See also Journal Article Market Liquidity and Funding Liquidity, The Review of Financial Studies, Society for Financial Studies (2009) View citations (2298) (2009)
24. Slow Moving Capital
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (178)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations (179)
    See also Journal Article Slow Moving Capital, American Economic Review, American Economic Association (2007) View citations (179) (2007)

2006

25. Valuation in Over-the-Counter Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) View citations (2)
    See also Journal Article Valuation in Over-the-Counter Markets, The Review of Financial Studies, Society for Financial Studies (2007) View citations (209) (2007)

2005

26. Demand-Based Option Pricing
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (14)
    See also Journal Article Demand-Based Option Pricing, The Review of Financial Studies, Society for Financial Studies (2009) View citations (225) (2009)
27. Liquidity and Asset Prices
    MPRA Paper, University Library of Munich, Germany View citations (181)
    See also Journal Article Liquidity and Asset Prices, Foundations and Trends(R) in Finance, now publishers (2006) View citations (50) (2006)

2004

28. Asset Pricing with Liquidity Risk
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (18)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) View citations (26)
    NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations (19)
    See also Journal Article Asset pricing with liquidity risk, Journal of Financial Economics, Elsevier (2005) View citations (1165) (2005)
29. Over-the-Counter Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
    See also Journal Article Over-the-Counter Markets, Econometrica, Econometric Society (2005) View citations (392) (2005)
30. Predatory Trading
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (1)
    See also Journal Article Predatory Trading, Journal of Finance, American Finance Association (2005) View citations (142) (2005)
31. 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
   See also Working Paper Embedded Leverage, NBER Working Papers (2012) View citations (7) (2012)

2021

2. Responsible investing: The ESG-efficient frontier
   Journal of Financial Economics, 2021, 142, (2), 572-597 View citations (276)

2020

3. Betting against correlation: Testing theories of the low-risk effect
   Journal of Financial Economics, 2020, 135, (3), 629-652 View citations (34)
   See also Working Paper Betting Against Correlation: Testing Theories of the Low-Risk Effect, CEPR Discussion Papers (2018) View citations (1) (2018)

2019

4. Economics with Market Liquidity Risk
   Critical Finance Review, 2019, 8, (1-2), 111-125 View citations (6)
5. Generalized recovery
   Journal of Financial Economics, 2019, 133, (1), 154-174 View citations (8)
   See also Working Paper Generalized Recovery, CEPR Discussion Papers (2018) View citations (1) (2018)
6. Quality minus junk
   Review of Accounting Studies, 2019, 24, (1), 34-112 View citations (35)

2018

7. Carry
   Journal of Financial Economics, 2018, 127, (2), 197-225
   See also Working Paper Carry, CEPR Discussion Papers (2013) (2013)
8. Efficiently Inefficient Markets for Assets and Asset Management
   Journal of Finance, 2018, 73, (4), 1663-1712 View citations (42)
   See also Working Paper Efficiently Inefficient Markets for Assets and Asset Management, CEPR Discussion Papers (2018) View citations (43) (2018)
9. Risk Everywhere: Modeling and Managing Volatility
   The Review of Financial Studies, 2018, 31, (7), 2729-2773 View citations (147)
   See also Working Paper Risk Everywhere: Modeling and Managing Volatility, CEPR Discussion Papers (2018) View citations (151) (2018)
10. Size matters, if you control your junk
    Journal of Financial Economics, 2018, 129, (3), 479-509 View citations (37)
    See also Working Paper Size Matters, if You Control Your Junk, CEPR Discussion Papers (2018) View citations (40) (2018)

2017

11. Measuring Systemic Risk
    The Review of Financial Studies, 2017, 30, (1), 2-47 View citations (651)
    See also Working Paper Measuring Systemic Risk, CEPR Discussion Papers (2012) View citations (82) (2012)

2016

12. Dynamic portfolio choice with frictions
    Journal of Economic Theory, 2016, 165, (C), 487-516 View citations (71)
13. Early option exercise: Never say never
    Journal of Financial Economics, 2016, 121, (2), 278-299 View citations (15)
    See also Working Paper Early Option Exercise: Never Say Never, CEPR Discussion Papers (2015) (2015)

2014

14. Betting against beta
    Journal of Financial Economics, 2014, 111, (1), 1-25 View citations (531)
    See also Working Paper Betting Against Beta, Swiss Finance Institute Research Paper Series (2012) View citations (6) (2012)

2013

15. Dynamic Trading with Predictable Returns and Transaction Costs
    Journal of Finance, 2013, 68, (6), 2309-2340 View citations (172)
    See also Working Paper Dynamic Trading with Predictable Returns and Transaction Costs, CEPR Discussion Papers (2009) View citations (8) (2009)
16. Value and Momentum Everywhere
    Journal of Finance, 2013, 68, (3), 929-985 View citations (805)

2012

17. Time series momentum
    Journal of Financial Economics, 2012, 104, (2), 228-250 View citations (465)

2011

18. How Sovereign Is Sovereign Credit Risk?
    American Economic Journal: Macroeconomics, 2011, 3, (2), 75-103 View citations (613)
    See also Working Paper How Sovereign is Sovereign Credit Risk?, NBER Working Papers (2007) View citations (50) (2007)
19. Margin-based Asset Pricing and Deviations from the Law of One Price
    The Review of Financial Studies, 2011, 24, (6), 1980-2022 View citations (263)
    See also Working Paper Margin-Based Asset Pricing and Deviations from the Law of One Price, NBER Working Papers (2011) View citations (276) (2011)

2009

20. Demand-Based Option Pricing
    The Review of Financial Studies, 2009, 22, (10), 4259-4299 View citations (225)
    See also Working Paper Demand-Based Option Pricing, NBER Working Papers (2005) View citations (10) (2005)
21. Market Liquidity and Funding Liquidity
    The Review of Financial Studies, 2009, 22, (6), 2201-2238 View citations (2298)
    See also Working Paper Market Liquidity and Funding Liquidity, NBER Working Papers (2007) View citations (107) (2007)
22. When Everyone Runs for the Exit
    International Journal of Central Banking, 2009, 5, (4), 177-199 View citations (58)
    See also Working Paper When Everyone Runs for the Exit, NBER Working Papers (2009) View citations (58) (2009)

2007

23. Liquidity and Risk Management
    American Economic Review, 2007, 97, (2), 193-197 View citations (71)
    See also Working Paper Liquidity and Risk Management, NBER Working Papers (2007) View citations (71) (2007)
24. Slow Moving Capital
    American Economic Review, 2007, 97, (2), 215-220 View citations (179)
    See also Working Paper Slow Moving Capital, NBER Working Papers (2007) View citations (178) (2007)
25. Valuation in Over-the-Counter Markets
    The Review of Financial Studies, 2007, 20, (6), 1865-1900 View citations (209)
    See also Working Paper Valuation in Over-the-Counter Markets, NBER Working Papers (2006) View citations (4) (2006)

2006

26. Liquidity and Asset Prices
    Foundations and Trends(R) in Finance, 2006, 1, (4), 269-364 View citations (50)
    See also Working Paper Liquidity and Asset Prices, MPRA Paper (2005) View citations (181) (2005)

2005

27. Asset pricing with liquidity risk
    Journal of Financial Economics, 2005, 77, (2), 375-410 View citations (1165)
    See also Working Paper Asset Pricing with Liquidity Risk, CEPR Discussion Papers (2004) View citations (18) (2004)
28. Over-the-Counter Markets
    Econometrica, 2005, 73, (6), 1815-1847 View citations (392)
    See also Working Paper Over-the-Counter Markets, NBER Working Papers (2004) View citations (10) (2004)
29. Predatory Trading
    Journal of Finance, 2005, 60, (4), 1825-1863 View citations (142)
    See also Working Paper Predatory Trading, Econometric Society 2004 North American Winter Meetings (2004) View citations (1) (2004)

2004

30. Adverse Selection and the Required Return
    The Review of Financial Studies, 2004, 17, (3), 643-665 View citations (31)

2003

31. Modeling Sovereign Yield Spreads: A Case Study of Russian Debt
    Journal of Finance, 2003, 58, (1), 119-159 View citations (197)

2002

32. Securities lending, shorting, and pricing
    Journal of Financial Economics, 2002, 66, (2-3), 307-339 View citations (255)

Books

2015

1. Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined
   Economics Books, Princeton University Press View citations (33)

2013

2. 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

2013

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

2012

3. How to Calculate Systemic Risk Surcharges
   A chapter in Quantifying Systemic Risk, 2012, pp 175-212
4. Monitoring Leverage
   A chapter in Risk Topography: Systemic Risk and Macro Modeling, 2012, pp 113-127 View citations (2)
   See also Working Paper Monitoring Leverage, Cowles Foundation for Research in Economics, Yale University (2011) (2011)

2011

5. Two Monetary Tools: Interest Rates and Haircuts
   A chapter in NBER Macroeconomics Annual 2010, volume 25, 2011, pp 143-180 View citations (55)
   See also Working Paper Two Monetary Tools: Interest Rates and Haircuts, National Bureau of Economic Research, Inc (2010) View citations (78) (2010)

2009

6. Carry Trades and Currency Crashes
   A chapter in NBER Macroeconomics Annual 2008, Volume 23, 2009, pp 313-347 View citations (271)
   See also Working Paper Carry Trades and Currency Crashes, Princeton University. Economics Department. (2008) View citations (55) (2008)