.
Pedersen, Lasse Heje's
Scholarly Papers
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column.
Aggregate Statistics
Total 23,422
Total Citations 2,911
1.
Value and Momentum Everywhere
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Asness, Clifford S. AQR Capital Management, LLC
Moskowitz, Tobias J. University of Chicago - Booth School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Posted:
20 Mar 09
Last Revised:
07 May 13
8,245(214)
84
Asness, Clifford S. AQR Capital Management, LLC
Moskowitz, Tobias J. University of Chicago - Booth School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
857
84
Asness, Clifford S. AQR Capital Management, LLC
Moskowitz, Tobias J. University of Chicago - Booth School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
7,388
84
value effect, momentum, commonality, liquidity risk
2.
Measuring Systemic Risk
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Acharya, Viral V. New York University - Leonard N. Stern School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Philippon, Thomas New York University (NYU) - Department of Finance
Richardson, Matthew P. New York University (NYU) - Department of Finance
Posted:
22 Mar 10
Last Revised:
01 Mar 12
3,853(879)
79
Acharya, Viral V. New York University - Leonard N. Stern School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Philippon, Thomas New York University (NYU) - Department of Finance
Richardson, Matthew P. New York University (NYU) - Department of Finance
11
79
bailout, financial regulation, systemic risk, value at risk
Acharya, Viral V. New York University - Leonard N. Stern School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Philippon, Thomas New York University (NYU) - Department of Finance
Richardson, Matthew P. New York University (NYU) - Department of Finance
Posted:
24 Apr 10
Last Revised:
28 Aug 10
1,123
79
systemic risk, risk pricing, systemic expected shortfall, risk internalization
Acharya, Viral V. New York University - Leonard N. Stern School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Philippon, Thomas New York University (NYU) - Department of Finance
Richardson, Matthew P. New York University (NYU) - Department of Finance
Posted:
22 Mar 10
Last Revised:
09 Aug 10
2,719
79
systemic risk, bailout, financial regulation, value at risk
3.
Asset Pricing with Liquidity Risk
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Acharya, Viral V. New York University - Leonard N. Stern School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Posted:
28 Jan 03
Last Revised:
21 Jul 10
2,744(1,603)
407
Acharya, Viral V. New York University - Leonard N. Stern School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
164
405
Acharya, Viral V. New York University - Leonard N. Stern School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
188
405
Liquidity risk, Liquidity-adjusted CAPM, Flight to liquidity, Frictions, Transaction costs
Acharya, Viral V. New York University - Leonard N. Stern School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
47
405
Liquidity, liquidity risk, asset pricing, frictions, transaction costs
Acharya, Viral V. New York University - Leonard N. Stern School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
0
Liquidity, liquidity risk, frictions, transaction costs, flight to liquidity
Acharya, Viral V. New York University - Leonard N. Stern School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
76
405
Acharya, Viral V. New York University - Leonard N. Stern School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
44
405
Liquidity, liquidity risk, capital asset pricing model (CAPM), liquidity premium, equilibrium asset pricing
Acharya, Viral V. New York University - Leonard N. Stern School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
2,225
405
liquidity risk, asset pricing
4.
Moskowitz, Tobias J. University of Chicago - Booth School of Business
Ooi, Yao Hua AQR Capital Management, LLC
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
1,075(8,223)
16
5.
Betting Against Beta
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Frazzini, Andrea AQR Capital Management, LLC
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Posted:
13 Dec 10
Last Revised:
03 May 12
1,014(9,091)
23
Frazzini, Andrea AQR Capital Management, LLC
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
974
23
Frazzini, Andrea AQR Capital Management, LLC
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
40
23
6.
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt
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Duffie, Darrell Stanford University - Graduate School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Singleton, Kenneth J. Stanford University-Graduate School of Business
Posted:
11 Jul 01
Last Revised:
31 Aug 03
762(14,119)
95
Duffie, Darrell Stanford University - Graduate School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Singleton, Kenneth J. Stanford University-Graduate School of Business
0
Duffie, Darrell Stanford University - Graduate School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Singleton, Kenneth J. Stanford University-Graduate School of Business
762
95
7.
Asness, Clifford S. AQR Capital Management, LLC
Frazzini, Andrea AQR Capital Management, LLC
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Posted:
03 May 13
Last Revised:
10 May 13
705(15,881)
Low Beta, Betting against Beta
8.
Securities Lending, Shorting, and Pricing
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Duffie, Darrell Stanford University - Graduate School of Business
Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Posted:
04 Mar 02
Last Revised:
29 Mar 02
662(17,297)
117
Duffie, Darrell Stanford University - Graduate School of Business
Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
0
Duffie, Darrell Stanford University - Graduate School of Business
Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
662
117
9.
Dynamic Trading with Predictable Returns and Transaction Costs
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Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Posted:
24 Mar 09
Last Revised:
20 Jul 10
626(18,766)
10
Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
3
10
dynamic trading, portfolio choice, predictability, transaction costs
Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
13
10
Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Posted:
24 Mar 09
Last Revised:
18 Aug 09
610
10
dynamic trading, predictability, transaction costs, portfolio choice
10.
Slow Moving Capital
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Mitchell, Mark L. CNH Partners
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Pulvino, Todd C. CNH Partners
Posted:
25 Jan 07
Last Revised:
09 Sep 10
594(20,189)
63
Mitchell, Mark L. CNH Partners
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Pulvino, Todd C. CNH Partners
3
63
Capital constraint, convertible bond, frictions, hedge funds, limits of arbitrage, liquidity, merger arbitrage, risk management, valuation
Mitchell, Mark L. CNH Partners
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Pulvino, Todd C. CNH Partners
38
63
Mitchell, Mark L. CNH Partners
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Pulvino, Todd C. CNH Partners
553
63
limits of arbitrage, capital constraint, valuation, risk management, liquidity, hedge funds, convertible bond, merger arbitrage, frictions
11.
Predatory Trading
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Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Brunnermeier, Markus K. Princeton University - Department of Economics
Posted:
22 Apr 03
Last Revised:
09 Nov 10
567(21,525)
123
Brunnermeier, Markus K. Princeton University - Department of Economics
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
81
123
Predation, Valuation, Liquidity, Risk Management, Systemic Risk
Brunnermeier, Markus K. Princeton University - Department of Economics
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
31
123
Predation, Valuation, Liquidity, Risk Management, Systemic Risk
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Brunnermeier, Markus K. Princeton University - Department of Economics
26
123
Dealer exit stress test, liquidity crisis, predation, valuation, liquidity, risk management, systemic risk
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Brunnermeier, Markus K. Princeton University - Department of Economics
51
123
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Brunnermeier, Markus K. Princeton University - Department of Economics
378
123
12.
Market Liquidity and Funding Liquidity
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Brunnermeier, Markus K. Princeton University - Department of Economics
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Posted:
24 Feb 07
Last Revised:
09 Nov 10
478(26,987)
440
Brunnermeier, Markus K. Princeton University - Department of Economics
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
0
Brunnermeier, Markus K. Princeton University - Department of Economics
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
366
440
Liquidity Risk Management, Liquidity, Liquidation, Systemic Risk, Leverage, Margins, Haircuts
Brunnermeier, Markus K. Princeton University - Department of Economics
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
16
440
Counterparty credit risk, leverage, liquidity risk management, margins, systemic risk, value-at-risk
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Brunnermeier, Markus K. Princeton University - Department of Economics
96
440
13.
Demand-Based Option Pricing
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Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Poteshman, Allen M. University of Illinois at Urbana-Champaign - Department of Finance
Posted:
05 Mar 05
Last Revised:
02 Feb 10
410(32,983)
103
Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Poteshman, Allen M. University of Illinois at Urbana-Champaign - Department of Finance
31
103
Option, demand, valuation, intermediation, market makers, implied volatility, hedging, price pressure, risk, dealers
Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Poteshman, Allen M. University of Illinois at Urbana-Champaign - Department of Finance
33
103
Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Poteshman, Allen M. University of Illinois at Urbana-Champaign - Department of Finance
346
103
Options, demand pressure, price pressure, frictions, liquidity
14.
Geanakoplos, John Yale University - Cowles Foundation
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
166(89,172)
Leverage, Loan to value, Margins, Haircuts, Monitor, Regulate, Leverage on new loans, Asset leverage, Investor leverage
15.
Longstaff, Francis A. University of California, Los Angeles (UCLA) - Finance Area
Pan, Jun Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA)
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Singleton, Kenneth J. Stanford University-Graduate School of Business
148(98,966)
69
16.
When Everyone Runs for the Exit
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Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Posted:
31 Aug 09
Last Revised:
07 May 13
145(100,709)
12
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
116
12
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
6
12
asset pricing, crisis, liquidity risk, quant, risk management, run, unconventional monetary policy
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
23
12
17.
Adverse Selection and Re-Trade
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Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Posted:
04 Mar 02
Last Revised:
15 Dec 08
122(116,255)
5
Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
17
5
Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
105
5
18.
Duffie, Darrell affiliation not provided to SSRN
Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
121(117,065)
117
19.
Margin-Based Asset Pricing and Deviations from the Law of One Price
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Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Nicolae, Garleanu affiliation not provided to SSRN
Posted:
08 Dec 09
Last Revised:
14 Feb 11
105(130,419)
56
Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
16
56
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Nicolae, Garleanu affiliation not provided to SSRN
89
56
20.
Nicolae, Garleanu affiliation not provided to SSRN
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
87(148,160)
1
21.
Demand-Based Option Pricing
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Gârleanu, Nicolae affiliation not provided to SSRN
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Poteshman, Allen M. University of Illinois at Urbana-Champaign - Department of Finance
Posted:
05 Nov 08
Last Revised:
29 Jul 10
87(148,160)
102
Gârleanu, Nicolae affiliation not provided to SSRN
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Poteshman, Allen M. University of Illinois at Urbana-Champaign - Department of Finance
0
Gârleanu, Nicolae affiliation not provided to SSRN
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Poteshman, Allen M. University of Illinois at Urbana-Champaign - Department of Finance
87
102
22.
Valuation in Over-the-Counter Markets
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Duffie, Darrell affiliation not provided to SSRN
Gârleanu, Nicolae affiliation not provided to SSRN
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Posted:
26 Jun 08
Last Revised:
29 Jul 10
78(158,503)
143
Duffie, Darrell affiliation not provided to SSRN
Gârleanu, Nicolae affiliation not provided to SSRN
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
46
143
Duffie, Darrell affiliation not provided to SSRN
Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
32
143
Duffie, Darrell affiliation not provided to SSRN
Gârleanu, Nicolae affiliation not provided to SSRN
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
0
G1, G12, G14, D83, D4, D52
23.
Duffie, Darrell affiliation not provided to SSRN
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Singleton, Kenneth J. Stanford University-Graduate School of Business
75(162,342)
78
24.
Valuation in Dynamic Bargaining Markets
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Duffie, Darrell affiliation not provided to SSRN
Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Posted:
03 Nov 08
Last Revised:
06 Dec 08
70(169,088)
5
Duffie, Darrell affiliation not provided to SSRN
Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
50
5
Duffie, Darrell affiliation not provided to SSRN
Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
20
5
25.
Liquidity and Risk Management
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Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Posted:
27 Jan 07
Last Revised:
19 Sep 10
69(169,088)
20
Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
69
20
Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
0
liquidity, risk management, feedback effect, crises
26.
Valuation in Over-the-Counter Markets
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Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Duffie, Darrell Stanford University - Graduate School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Posted:
27 Apr 06
Last Revised:
02 Jul 09
69(170,445)
143
Duffie, Darrell Stanford University - Graduate School of Business
Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
28
143
Search, bargaining, liquidity, risk, asset pricing
Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Duffie, Darrell Stanford University - Graduate School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
41
142
27.
Duffie, Darrell affiliation not provided to SSRN
Gârleanu, Nicolae affiliation not provided to SSRN
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
67(173,170)
138
28.
Duffie, Darrell affiliation not provided to SSRN
Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
56(189,825)
4
29.
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt
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Duffie, Darrell affiliation not provided to SSRN
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Singleton, Kenneth J. Stanford University-Graduate School of Business
Posted:
05 Nov 08
Last Revised:
24 Feb 09
55(191,510)
94
Duffie, Darrell affiliation not provided to SSRN
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Singleton, Kenneth J. Stanford University-Graduate School of Business
23
94
Duffie, Darrell affiliation not provided to SSRN
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Singleton, Kenneth J. Stanford University-Graduate School of Business
32
94
30.
Duffie, Darrell Stanford University - Graduate School of Business
Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
55(191,510)
138
31.
Two Monetary Tools: Interest Rates and Haircuts
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Ashcraft, Adam B. Federal Reserve Bank of New York
Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Posted:
07 Sep 10
Last Revised:
14 Nov 10
39(221,542)
13
Ashcraft, Adam B. Federal Reserve Bank of New York
Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
4
13
asset pricing, financial frictions, haircuts, liquidity, macroeconomics, margin requirements, monetary policy
Ashcraft, Adam B. Federal Reserve Bank of New York
Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
35
13
32.
Garleanu, Nicolae University of California, Berkeley - Haas School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
24(261,051)
1
auctions, revenue equivalence, no trade, volume, welfare
33.
Brunnermeier, Markus K. Princeton University - Department of Economics
Nagel, Stefan Stanford Graduate School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
22(267,871)
79
34.
Amihud, Yakov New York University - Stern School of Business
Mendelson, Haim Stanford University - Stanford Graduate School of Business
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
18(281,848)
131
35.
Frazzini, Andrea AQR Capital Management, LLC
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
9(313,144)
2
36.
Asness, Clifford S. AQR Capital Management, LLC
Frazzini, Andrea AQR Capital Management, LLC
Pedersen, Lasse Heje New York University (NYU) - Department of Finance
Portfolio Management, Portfolio Concepts from Capital Market Theory, Markowitz Portfolio Theory, Risk Management, Risk Management, Portfolio Risk Management, Risk Management Strategies
