Lasse Heje Pedersen

Research interests

Publications

• Slow Moving Capital

  RePEc: Research Papers in Economics · · 10.1257/aer.97.2.215

• Is There a Replication Crisis in Finance?

  The Journal of Finance · 2023 · 10.1111/jofi.13249

• Responsible investing: The ESG-efficient frontier

  Journal of Financial Economics · 2020 · https://doi.org/10.1016/j.jfineco.2020.11.001

• Responsible Investing: The ESG-Efficient Frontier

  SSRN Electronic Journal · 2019 · 10.2139/ssrn.3466417

• Risk Everywhere: Modeling and Managing Volatility

  Review of Financial Studies · 2018 · 10.1093/rfs/hhy041

• Quality minus junk

  Review of Accounting Studies · 2018 · 10.1007/s11142-018-9470-2

• Measuring Systemic Risk

  Review of Financial Studies · 2016 · https://doi.org/10.1093/rfs/hhw088

• Value and Momentum Everywhere

  The Journal of Finance · 2013 · https://doi.org/10.1111/jofi.12021

• Dynamic Trading with Predictable Returns and Transaction Costs

  The Journal of Finance · 2013 · 10.1111/jofi.12080

• Betting against beta

  Journal of Financial Economics · 2013 · https://doi.org/10.1016/j.jfineco.2013.10.005

• Leverage Aversion and Risk Parity

  Financial Analysts Journal · 2012 · 10.2469/faj.v68.n1.1

• Time series momentum

  Journal of Financial Economics · 2011 · 10.1016/j.jfineco.2011.11.003

• How Sovereign Is Sovereign Credit Risk?

  American Economic Journal Macroeconomics · 2011 · 10.1257/mac.3.2.75

• Margin-based Asset Pricing and Deviations from the Law of One Price

  Review of Financial Studies · 2011 · 10.1093/rfs/hhr027

• Market Liquidity and Funding Liquidity

  Review of Financial Studies · 2008 · https://doi.org/10.1093/rfs/hhn098

• Carry Trades and Currency Crashes

  · 2008

• Valuation in Over-the-Counter Markets

  Review of Financial Studies · 2007 · 10.1093/rfs/hhm037

• Liquidity and Asset Prices

  Foundations and Trends® in Finance · 2006 · 10.1561/0500000003

• Demand-Based Option Pricing

  Review of Financial Studies · 2005 · 10.1093/rfs/hhp005

• Predatory Trading

  The Journal of Finance · 2005 · 10.1111/j.1540-6261.2005.00781.x

• Asset pricing with liquidity risk

  Journal of Financial Economics · 2005 · https://doi.org/10.1016/j.jfineco.2004.06.007

• Over-the-Counter Markets

  Econometrica · 2004 · 10.1111/j.1468-0262.2005.00639.x

• Asset Pricing with Liquidity Risk

  SSRN Electronic Journal · 2003 · 10.2139/ssrn.366300

• Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

  The Journal of Finance · 2003 · 10.1111/1540-6261.00520

• Securities lending, shorting, and pricing

  Journal of Financial Economics · 2002 · 10.1016/s0304-405x(02)00226-x

Current projects

No projects listed.