Lasse Heje Pedersen

AQR Capital Management, LLC

Greenwich, CT

United States

Copenhagen Business School - Department of Finance

Solbjerg Plads 3

Frederiksberg, DK-2000

Denmark

New York University (NYU)

Stern School of Business

44 West 4th Street

New York, NY 10012-1126

United States

Centre for Economic Policy Research (CEPR)

London

United Kingdom

  • AQR Capital Management, LLC

  • Copenhagen Business School - Department of Finance

  • New York University (NYU)

  • Centre for Economic Policy Research (CEPR)

SCHOLARLY PAPERS

55

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158,791

SSRN CITATIONS
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Top 10

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3,117

CROSSREF CITATIONS

9,986

Scholarly Papers (55)

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1.

Value and Momentum Everywhere

Downloads 19,422 ( 126)
Citation 347

Value and Momentum Everywhere

AFA 2010 Atlanta Meetings Paper
Number of pages: 54 Posted: 20 Mar 2009
Clifford S. Asness, Tobias J. Moskowitz and Lasse Heje Pedersen
AQR Capital Management, LLC, Yale University, Yale SOM and AQR Capital Management, LLC
Downloads 11,749 (319)
Citation 322

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value effect, momentum, commonality, liquidity risk

Value and Momentum Everywhere

Chicago Booth Research Paper No. 12-53, Fama-Miller Working Paper
Number of pages: 72 Posted: 14 Nov 2012
Clifford S. Asness, Tobias J. Moskowitz and Lasse Heje Pedersen
AQR Capital Management, LLC, Yale University, Yale SOM and AQR Capital Management, LLC
Downloads 7,673 (732)
Citation 75

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2.

Size Matters, If You Control Your Junk

Downloads 16,956 ( 166)
Citation 28

Size Matters, If You Control Your Junk

Fama-Miller Working Paper
Number of pages: 59 Posted: 23 Jan 2015 Last Revised: 16 Apr 2015
Clifford S. Asness, Andrea Frazzini, Ronen Israel, Tobias J. Moskowitz and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC, Yale University, Yale SOM and AQR Capital Management, LLC
Downloads 15,956 (188)
Citation 11

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Size, Size effect, Size Anomaly, Small Cap, Microcap, Quality, Junk, Profitability, Market efficiency, January Effect, Illiquidity, Value, Momentum, Low volatility

Size Matters, If You Control Your Junk

Chicago Booth Research Paper No. 15-21
Number of pages: 73 Posted: 19 Jul 2015 Last Revised: 24 Feb 2017
Clifford S. Asness, Andrea Frazzini, Ronen Israel, Tobias J. Moskowitz and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC, Yale University, Yale SOM and AQR Capital Management, LLC
Downloads 993 (22,237)
Citation 6

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Size Matters, If You Control Your Junk

CEPR Discussion Paper No. DP12684
Number of pages: 62 Posted: 14 Feb 2018
Clifford S. Asness, Andrea Frazzini, Ronen Israel and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 7 (648,096)
Citation 3
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Junk, Microcap, Quality, Size, Size Anomaly, Size effect, Small Cap

3.

Quality Minus Junk

Number of pages: 80 Posted: 19 Aug 2013 Last Revised: 10 Jun 2017
Clifford S. Asness, Andrea Frazzini and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 15,297 (202)
Citation 122

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Quality Investing, Quality Minus Junk, QMJ

4.

Buffett's Alpha

Downloads 12,346 ( 290)
Citation 3

Buffett's Alpha

NBER Working Paper No. w19681
Number of pages: 46 Posted: 28 Nov 2013
Andrea Frazzini, David Kabiller and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 8,233 (646)

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Buffett's Alpha

Financial Analysts Journal, 2018, 74 (4): 35-55
Number of pages: 34 Posted: 30 Jun 2018 Last Revised: 10 Jan 2019
Andrea Frazzini, David Kabiller and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 4,113 (2,188)
Citation 3

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investments, market efficiency, leverage, quality, value, betting against beta

5.

Carry

Downloads 11,924 ( 321)
Citation 12

Carry

Fama-Miller Working Paper
Number of pages: 67 Posted: 26 Jul 2013 Last Revised: 01 Nov 2016
Ralph S. J. Koijen, Tobias J. Moskowitz, Lasse Heje Pedersen and Evert B. Vrugt
University of Chicago - Booth School of Business, Yale University, Yale SOM, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 11,099 (365)
Citation 4

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Carry Trade, Stocks, Bonds, Currencies, Commodities, Corporate Bonds, Options, Global Recessions

Carry

Chicago Booth Research Paper No. 15-20
Number of pages: 67 Posted: 19 Jul 2015 Last Revised: 01 Nov 2016
Ralph S. J. Koijen, Tobias J. Moskowitz, Lasse Heje Pedersen and Evert B. Vrugt
University of Chicago - Booth School of Business, Yale University, Yale SOM, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 673 (38,411)
Citation 9

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Carry Trade, Predictability, Stocks, Bonds, Currencies, Commodities, Corporate Bonds, Options, Global Recessions, Liquidity Risk, Volatility Risk

Carry

NBER Working Paper No. w19325
Number of pages: 65 Posted: 17 Aug 2013 Last Revised: 07 Sep 2013
Ralph S. J. Koijen, Tobias J. Moskowitz, Lasse Heje Pedersen and Evert B. Vrugt
University of Chicago - Booth School of Business, Yale University, Yale SOM, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 147 (205,632)

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Carry

CEPR Discussion Paper No. DP9771
Number of pages: 66 Posted: 02 Dec 2013
Ralph S. J. Koijen, Tobias J. Moskowitz, Lasse Heje Pedersen and Evert B. Vrugt
University of Chicago - Booth School of Business, Yale University, Yale SOM, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 5 (662,949)
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bonds, carry trade, commodities, corporate bonds, currencies, global recessions, liquidity risk, options, predictability stocks, volatility risk

6.

Measuring Systemic Risk

Downloads 9,685 ( 494)
Citation 216

Measuring Systemic Risk

AFA 2011 Denver Meetings Paper
Number of pages: 46 Posted: 22 Mar 2010 Last Revised: 09 Aug 2010
Viral V. Acharya, Lasse Heje Pedersen, Thomas Philippon and Matthew P. Richardson
New York University - Leonard N. Stern School of Business, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 5,707 (1,223)
Citation 118

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systemic risk, bailout, financial regulation, value at risk

Measuring Systemic Risk

FRB of Cleveland Working Paper No. 10-02
Number of pages: 55 Posted: 24 Apr 2010 Last Revised: 28 Aug 2010
Viral V. Acharya, Lasse Heje Pedersen, Thomas Philippon and Matthew P. Richardson
New York University - Leonard N. Stern School of Business, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 3,964 (2,332)
Citation 14

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systemic risk, risk pricing, systemic expected shortfall, risk internalization

Measuring Systemic Risk

CEPR Discussion Paper No. DP8824
Number of pages: 49 Posted: 01 Mar 2012
Viral V. Acharya, Lasse Heje Pedersen, Thomas Philippon and Matthew P. Richardson
New York University - Leonard N. Stern School of Business, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 14 (597,715)
Citation 55
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bailout, financial regulation, systemic risk, value at risk

7.

Time Series Momentum

Chicago Booth Research Paper No. 12-21, Fama-Miller Working Paper
Number of pages: 62 Posted: 23 Jun 2012
Tobias J. Moskowitz, Yao Hua Ooi and Lasse Heje Pedersen
Yale University, Yale SOM, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 8,572 (605)
Citation 107

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8.

Deep Value

Downloads 8,373 ( 641)
Citation 2

Deep Value

Number of pages: 59 Posted: 28 Nov 2017 Last Revised: 12 Dec 2017
Clifford S. Asness, John M. Liew, Lasse Heje Pedersen and Ashwin K Thapar
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 8,368 (630)
Citation 2

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value investing, market efficiency, bubbles, behavioral finance, over-reaction, demand pressure, arbitrage, noise

Deep Value

CEPR Discussion Paper No. DP12685
Number of pages: 62 Posted: 14 Feb 2018
Clifford S. Asness, John M. Liew, Lasse Heje Pedersen and Ashwin K Thapar
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 5 (662,949)
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arbitrage, behavioral finance, bubbles, demand pressure, Market Efficiency, noise, over-reaction, value investing

9.

Betting Against Correlation: Testing Theories of the Low-Risk Effect

Downloads 6,908 ( 885)
Citation 5

Betting Against Correlation: Testing Theories of the Low-Risk Effect

Number of pages: 73 Posted: 08 Feb 2017 Last Revised: 21 Jun 2018
Clifford S. Asness, Andrea Frazzini, Niels Joachim Gormsen and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC, University of Chicago - Booth School of Business and AQR Capital Management, LLC
Downloads 6,906 (877)
Citation 2

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asset pricing, leverage constraints, lottery demand, margin, sentiment

Betting Against Correlation: Testing Theories of the Low-Risk Effect

CEPR Discussion Paper No. DP12686
Number of pages: 65 Posted: 14 Feb 2018
Clifford S. Asness, Andrea Frazzini, Niels Joachim Gormsen and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC, University of Chicago - Booth School of Business and AQR Capital Management, LLC
Downloads 2 (690,357)
Citation 3
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Asset Pricing, leverage constraints, lottery demand, margin, sentiment

10.

Which Trend Is Your Friend?

Financial Analysts Journal, vol. 72, no. 3 (May/June 2016)
Number of pages: 32 Posted: 10 May 2015 Last Revised: 19 Apr 2016
Ari Levine and Lasse Heje Pedersen
AQR Capital Management and AQR Capital Management, LLC
Downloads 5,741 (1,229)
Citation 9

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trend-following investing, momentum, moving average crossover, filtering, managed futures, CTA

11.

Sharpening the Arithmetic of Active Management

Financial Analysts Journal, 2018, 74 (1): 21-36
Number of pages: 23 Posted: 07 Oct 2016 Last Revised: 23 Feb 2018
Lasse Heje Pedersen
AQR Capital Management, LLC
Downloads 5,729 (1,235)
Citation 7

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active management, passive investing, index funds, investment management, asset pricing, market efficiency

12.

A Century of Evidence on Trend-Following Investing

Number of pages: 26 Posted: 28 Jun 2017
Brian Hurst, Yao Hua Ooi and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 4,952 (1,584)
Citation 41

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trend-following, time series momentum, managed futures, CTA, hedge funds, alternative investments

13.

Low-Risk Investing Without Industry Bets

Number of pages: 27 Posted: 03 May 2013 Last Revised: 10 May 2013
Clifford S. Asness, Andrea Frazzini and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 3,885 (2,443)
Citation 11

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Low Beta, Betting against Beta

14.

Asset Pricing with Liquidity Risk

Downloads 3,382 ( 3,109)
Citation 616

Asset Pricing with Liquidity Risk

Number of pages: 58 Posted: 28 Jan 2003
Viral V. Acharya and Lasse Heje Pedersen
New York University - Leonard N. Stern School of Business and AQR Capital Management, LLC
Downloads 2,670 (4,551)
Citation 19

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liquidity risk, asset pricing

Asset Pricing with Liquidity Risk

NYU Working Paper No. S-DRP-05-09
Number of pages: 36 Posted: 05 Nov 2008
Viral V. Acharya and Lasse Heje Pedersen
New York University - Leonard N. Stern School of Business and AQR Capital Management, LLC
Downloads 304 (102,141)
Citation 26

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Liquidity risk, Liquidity-adjusted CAPM, Flight to liquidity, Frictions, Transaction costs

Asset Pricing with Liquidity Risk

NYU Working Paper No. FIN-03-044
Number of pages: 67 Posted: 11 Nov 2008
Viral V. Acharya and Lasse Heje Pedersen
New York University - Leonard N. Stern School of Business and AQR Capital Management, LLC
Downloads 216 (145,487)

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Asset Pricing with Liquidity Risk

NBER Working Paper No. w10814
Number of pages: 60 Posted: 18 Oct 2004 Last Revised: 21 Jul 2010
Viral V. Acharya and Lasse Heje Pedersen
New York University - Leonard N. Stern School of Business and AQR Capital Management, LLC
Downloads 101 (273,425)
Citation 2

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Asset Pricing with Liquidity Risk

CEPR Discussion Paper No. 4718
Number of pages: 47 Posted: 11 Jan 2005
Viral V. Acharya and Lasse Heje Pedersen
New York University - Leonard N. Stern School of Business and AQR Capital Management, LLC
Downloads 47 (418,376)
Citation 46
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Liquidity, liquidity risk, asset pricing, frictions, transaction costs

Asset Pricing with Liquidity Risk

CEPR Discussion Paper No. 3749
Number of pages: 60 Posted: 07 Mar 2003
Viral V. Acharya and Lasse Heje Pedersen
New York University - Leonard N. Stern School of Business and AQR Capital Management, LLC
Downloads 44 (430,366)
Citation 12
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Liquidity, liquidity risk, capital asset pricing model (CAPM), liquidity premium, equilibrium asset pricing

Asset Pricing with Liquidity Risk

Journal of Financial Economics, Forthcoming
Posted: 16 Dec 2004
Viral V. Acharya and Lasse Heje Pedersen
New York University - Leonard N. Stern School of Business and AQR Capital Management, LLC

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Liquidity, liquidity risk, frictions, transaction costs, flight to liquidity

15.

Betting Against Beta

Downloads 3,282 ( 3,264)
Citation 238

Betting Against Beta

Swiss Finance Institute Research Paper No. 12-17
Number of pages: 85 Posted: 03 May 2012
Andrea Frazzini and Lasse Heje Pedersen
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 3,031 (3,662)
Citation 244

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Betting Against Beta

NBER Working Paper No. w16601
Number of pages: 71 Posted: 13 Dec 2010
Andrea Frazzini and Lasse Heje Pedersen
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 251 (125,191)
Citation 9

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16.

Risk Everywhere: Modeling and Managing Volatility

Downloads 2,929 ( 3,977)
Citation 26

Risk Everywhere: Modeling and Managing Volatility

Number of pages: 54 Posted: 28 Jan 2016 Last Revised: 22 Mar 2017
Tim Bollerslev, Benjamin Hood, John Huss and Lasse Heje Pedersen
Duke University - Finance, Parametric Portfolio Associates, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 2,926 (3,900)
Citation 14

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Market and volatility risk, high-frequency data, realized volatility, risk modeling and forecasting, volatility trading, risk targeting, realized utility

Risk Everywhere: Modeling and Managing Volatility

CEPR Discussion Paper No. DP12687
Number of pages: 57 Posted: 14 Feb 2018
Tim Bollerslev, Benjamin Hood, John Huss and Lasse Heje Pedersen
Duke University - Finance, Parametric Portfolio Associates, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 3 (679,493)
Citation 5
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high-frequency data, Market and volatility risk, realized utility, realized volatility, risk modeling and forecasting, risk targeting, volatility trading

17.

Responsible Investing: The ESG-Efficient Frontier

Number of pages: 49 Posted: 18 Oct 2019 Last Revised: 27 Jan 2020
Lasse Heje Pedersen, Shaun Fitzgibbons and Lukasz Pomorski
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 2,502 (5,207)
Citation 1

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portfolio choice, ESG, socially responsible investing, impact investing, sustainable investing, CSR

18.

Efficiently Inefficient Markets for Assets and Asset Management

Downloads 2,164 ( 6,584)
Citation 27

Efficiently Inefficient Markets for Assets and Asset Management

Number of pages: 62 Posted: 12 Aug 2015 Last Revised: 09 Jun 2017
Nicolae Garleanu and Lasse Heje Pedersen
University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
Downloads 2,128 (6,636)

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Asset management, investment, information, search, efficiency, asset pricing, liquidity

Efficiently Inefficient Markets for Assets and Asset Management

NBER Working Paper No. w21563
Number of pages: 55 Posted: 21 Sep 2015
Nicolae Garleanu and Lasse Heje Pedersen
University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
Downloads 36 (465,106)

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Efficiently Inefficient Markets for Assets and Asset Management

CEPR Discussion Paper No. DP12664
Number of pages: 65 Posted: 05 Feb 2018
Nicolae Garleanu and Lasse Heje Pedersen
University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
Downloads 0
Citation 17
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asset management, Asset Pricing, efficiency, Information, investment, liquidity, search

19.

Trends Everywhere

Journal of Investment Management, Forthcoming
Number of pages: 26 Posted: 17 May 2019
Abhilash Babu, Ari Levine, Yao Hua Ooi, Lasse Heje Pedersen and Erik Stamelos
AQR Capital Management, LLC, AQR Capital Management, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 1,787 (9,096)

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managed futures, time series momentum, trend following, factor momentum, alternative markets, hedge funds, trading strategies, exotic commodities

20.

Generalized Recovery

Downloads 1,648 ( 10,401)
Citation 17

Generalized Recovery

Journal of Financial Economics, 133 (1), 154-174, 2019
Number of pages: 62 Posted: 08 Dec 2015 Last Revised: 28 May 2019
Christian Skov Jensen, David Lando and Lasse Heje Pedersen
Bocconi University, Copenhagen Business School and AQR Capital Management, LLC
Downloads 1,647 (10,220)
Citation 14

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asset pricing theory, financial economics, pricing kernel, risk aversion

Generalized Recovery

CEPR Discussion Paper No. DP12665
Number of pages: 66 Posted: 05 Feb 2018
David Lando, Lasse Heje Pedersen and Christian Skov Jensen
Copenhagen Business School, AQR Capital Management, LLC and Bocconi University
Downloads 1 (704,052)
Citation 4
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asset pricing theory, financial economics, pricing kernel, risk aversion

21.

Dynamic Trading with Predictable Returns and Transaction Costs

Downloads 1,024 ( 21,605)
Citation 22

Dynamic Trading with Predictable Returns and Transaction Costs

AFA 2010 Atlanta Meetings Paper
Number of pages: 64 Posted: 24 Mar 2009 Last Revised: 18 Aug 2009
Nicolae Garleanu and Lasse Heje Pedersen
University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
Downloads 959 (23,428)
Citation 2

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dynamic trading, predictability, transaction costs, portfolio choice

Dynamic Trading with Predictable Returns and Transaction Costs

NBER Working Paper No. w15205
Number of pages: 47 Posted: 11 Aug 2009 Last Revised: 20 Jul 2010
Nicolae Garleanu and Lasse Heje Pedersen
University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
Downloads 62 (366,901)

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Dynamic Trading with Predictable Returns and Transaction Costs

CEPR Discussion Paper No. DP7392
Number of pages: 47 Posted: 08 Sep 2009
Nicolae Garleanu and Lasse Heje Pedersen
University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
Downloads 3 (679,493)
Citation 1
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dynamic trading, portfolio choice, predictability, transaction costs

22.

Securities Lending, Shorting, and Pricing

Downloads 929 ( 24,988)

Securities Lending, Shorting, and Pricing

Number of pages: 44 Posted: 04 Mar 2002
Darrell Duffie, Nicolae Garleanu and Lasse Heje Pedersen
Stanford University - Graduate School of Business, University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
Downloads 929 (24,559)
Citation 8

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Securities Lending, Shorting, and Pricing

Journal of Financial Economics, Forthcoming
Posted: 29 Mar 2002
Darrell Duffie, Nicolae Garleanu and Lasse Heje Pedersen
Stanford University - Graduate School of Business, University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC

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23.

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

Downloads 864 ( 27,673)

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

EFA 2001 Barcelona Meetings
Number of pages: 49 Posted: 11 Jul 2001
Darrell Duffie, Lasse Heje Pedersen and Kenneth J. Singleton
Stanford University - Graduate School of Business, AQR Capital Management, LLC and Stanford University - Graduate School of Business
Downloads 864 (27,232)
Citation 15

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Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

Journal of Finance, Vol. 58, pp. 119-159, 2003
Posted: 31 Aug 2003
Darrell Duffie, Lasse Heje Pedersen and Kenneth J. Singleton
Stanford University - Graduate School of Business, AQR Capital Management, LLC and Stanford University - Graduate School of Business

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24.

Early Option Exercise: Never Say Never

Number of pages: 62 Posted: 27 Sep 2015 Last Revised: 18 Mar 2016
Mads Vestergaard Jensen and Lasse Heje Pedersen
Copenhagen Business School and AQR Capital Management, LLC
Downloads 861 (27,796)
Citation 6

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option exercise, frictions, short-sale costs, transaction costs, convertible bonds, derivatives pricing

25.

Market Liquidity and Funding Liquidity

Downloads 808 ( 30,409)
Citation 1,087

Market Liquidity and Funding Liquidity

NYU Working Paper No. SC-AM-05-06
Number of pages: 47 Posted: 03 Nov 2008
Markus K. Brunnermeier and Lasse Heje Pedersen
Princeton University - Department of Economics and AQR Capital Management, LLC
Downloads 643 (40,847)
Citation 26

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Liquidity Risk Management, Liquidity, Liquidation, Systemic Risk, Leverage, Margins, Haircuts

Market Liquidity and Funding Liquidity

NBER Working Paper No. w12939
Number of pages: 48 Posted: 24 Feb 2007 Last Revised: 13 Apr 2007
Lasse Heje Pedersen and Markus K. Brunnermeier
AQR Capital Management, LLC and Princeton University - Department of Economics
Downloads 149 (203,275)
Citation 23

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Market Liquidity and Funding Liquidity

CEPR Discussion Paper No. DP6179
Number of pages: 50 Posted: 20 May 2008
Markus K. Brunnermeier and Lasse Heje Pedersen
Princeton University - Department of Economics and AQR Capital Management, LLC
Downloads 16 (583,722)
Citation 116
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Counterparty credit risk, leverage, liquidity risk management, margins, systemic risk, value-at-risk

Market Liquidity and Funding Liquidity

The Review of Financial Studies, Vol. 22, Issue 6, pp. 2201-2238, 2009
Posted: 01 Jun 2009
Markus K. Brunnermeier and Lasse Heje Pedersen
Princeton University - Department of Economics and AQR Capital Management, LLC

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26.

Predatory Trading

Downloads 722 ( 35,476)
Citation 161

Predatory Trading

EFA 2003 Annual Conference Paper
Number of pages: 36 Posted: 22 Apr 2003
Lasse Heje Pedersen and Markus K. Brunnermeier
AQR Capital Management, LLC and Princeton University - Department of Economics
Downloads 452 (64,382)
Citation 4

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Predatory Trading

NYU Working Paper No. FIN-03-042
Number of pages: 43 Posted: 11 Nov 2008
Markus K. Brunnermeier and Lasse Heje Pedersen
Princeton University - Department of Economics and AQR Capital Management, LLC
Downloads 126 (232,796)
Citation 6

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Predation, Valuation, Liquidity, Risk Management, Systemic Risk

Predatory Trading

NBER Working Paper No. w10755
Number of pages: 56 Posted: 27 Sep 2004 Last Revised: 18 Nov 2004
Lasse Heje Pedersen and Markus K. Brunnermeier
AQR Capital Management, LLC and Princeton University - Department of Economics
Downloads 69 (346,351)
Citation 3

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Predatory Trading

NYU Working Paper No. S-DRP-03-14
Number of pages: 43 Posted: 07 Nov 2008
Markus K. Brunnermeier and Lasse Heje Pedersen
Princeton University - Department of Economics and AQR Capital Management, LLC
Downloads 48 (414,596)

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Predation, Valuation, Liquidity, Risk Management, Systemic Risk

Predatory Trading

CEPR Discussion Paper No. 4639
Number of pages: 58 Posted: 18 Nov 2004
Lasse Heje Pedersen and Markus K. Brunnermeier
AQR Capital Management, LLC and Princeton University - Department of Economics
Downloads 27 (512,081)
Citation 9
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Dealer exit stress test, liquidity crisis, predation, valuation, liquidity, risk management, systemic risk

27.

Slow Moving Capital

Downloads 697 ( 37,195)
Citation 112

Slow Moving Capital

American Economic Review, Forthcoming
Number of pages: 16 Posted: 25 Jan 2007
Mark L. Mitchell, Lasse Heje Pedersen and Todd C. Pulvino
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 623 (42,660)
Citation 1

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limits of arbitrage, capital constraint, valuation, risk management, liquidity, hedge funds, convertible bond, merger arbitrage, frictions

Slow Moving Capital

NBER Working Paper No. w12877
Number of pages: 17 Posted: 31 Jan 2007 Last Revised: 09 Sep 2010
Mark L. Mitchell, Lasse Heje Pedersen and Todd C. Pulvino
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 71 (340,853)
Citation 5

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Slow Moving Capital

CEPR Discussion Paper No. DP6117
Number of pages: 19 Posted: 16 May 2008
Mark L. Mitchell, Lasse Heje Pedersen and Todd C. Pulvino
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 3 (679,493)
Citation 11
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Capital constraint, convertible bond, frictions, hedge funds, limits of arbitrage, liquidity, merger arbitrage, risk management, valuation

28.

Active and Passive Investing

Number of pages: 51 Posted: 15 Oct 2018 Last Revised: 01 Oct 2019
Nicolae Garleanu and Lasse Heje Pedersen
University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
Downloads 627 (43,012)
Citation 4

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asset pricing, market efficiency, asset management, search, information

29.

Embedded Leverage

NBER Working Paper No. w18558
Number of pages: 60 Posted: 22 Nov 2012
Andrea Frazzini and Lasse Heje Pedersen
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 590 (46,615)

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30.

Carry Trades and Currency Crashes

NBER Working Paper No. w14473
Number of pages: 36 Posted: 19 Jul 2012 Last Revised: 01 Apr 2015
Markus K. Brunnermeier, Stefan Nagel and Lasse Heje Pedersen
Princeton University - Department of Economics, University of Chicago - Booth School of Business and AQR Capital Management, LLC
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Citation 20

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31.

Demand-Based Option Pricing

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Citation 163

Demand-Based Option Pricing

EFA 2005 Moscow Meetings Paper
Number of pages: 48 Posted: 05 Mar 2005
Nicolae Garleanu, Lasse Heje Pedersen and Allen M. Poteshman
University of California, Berkeley - Haas School of Business, AQR Capital Management, LLC and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 442 (66,066)
Citation 3

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Options, demand pressure, price pressure, frictions, liquidity

Demand-Based Option Pricing

NBER Working Paper No. w11843
Number of pages: 49 Posted: 29 Mar 2006 Last Revised: 02 Feb 2010
Nicolae Garleanu, Lasse Heje Pedersen and Allen M. Poteshman
University of California, Berkeley - Haas School of Business, AQR Capital Management, LLC and University of Illinois at Urbana-Champaign - Department of Finance
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Citation 13

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Demand-Based Option Pricing

CEPR Discussion Paper No. 5420
Number of pages: 51 Posted: 27 Mar 2006
Nicolae Garleanu, Lasse Heje Pedersen and Allen M. Poteshman
University of California, Berkeley - Haas School of Business, AQR Capital Management, LLC and University of Illinois at Urbana-Champaign - Department of Finance
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Citation 11
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Option, demand, valuation, intermediation, market makers, implied volatility, hedging, price pressure, risk, dealers

32.

Economics with Market Liquidity Risk

Critical Finance Review, special issue on “Liquidity: Replications, Extensions, and Critique”, Forthcoming
Number of pages: 15 Posted: 14 Sep 2019
Viral V. Acharya and Lasse Heje Pedersen
New York University - Leonard N. Stern School of Business and AQR Capital Management, LLC
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liquidity risk, asset pricing, financial crises, monetary policy, macroeconomics

33.

Monitoring Leverage

Cowles Foundation Discussion Paper No. 1838
Number of pages: 19 Posted: 02 Dec 2011
John Geanakoplos and Lasse Heje Pedersen
Yale University and AQR Capital Management, LLC
Downloads 293 (106,883)
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Leverage, Loan to value, Margins, Haircuts, Monitor, Regulate, Leverage on new loans, Asset leverage, Investor leverage

34.

When Everyone Runs for the Exit

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Citation 28

When Everyone Runs for the Exit

NYU Working Paper No. 2451/28345
Number of pages: 20 Posted: 08 Dec 2009
Lasse Heje Pedersen
AQR Capital Management, LLC
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When Everyone Runs for the Exit

NBER Working Paper No. w15297
Number of pages: 22 Posted: 31 Aug 2009 Last Revised: 14 Mar 2010
Lasse Heje Pedersen
AQR Capital Management, LLC
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When Everyone Runs for the Exit

CEPR Discussion Paper No. DP7436
Number of pages: 23 Posted: 07 Oct 2009
Lasse Heje Pedersen
AQR Capital Management, LLC
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Citation 2
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asset pricing, crisis, liquidity risk, quant, risk management, run, unconventional monetary policy

35.

How Sovereign is Sovereign Credit Risk?

NBER Working Paper No. w13658
Number of pages: 43 Posted: 19 Dec 2007 Last Revised: 07 Feb 2008
Francis A. Longstaff, Jun Pan, Lasse Heje Pedersen and Kenneth J. Singleton
University of California, Los Angeles (UCLA) - Finance Area, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), AQR Capital Management, LLC and Stanford University - Graduate School of Business
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36.

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

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Citation 181

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

NYU Working Paper No. 2451/28344
Number of pages: 44 Posted: 08 Dec 2009
Lasse Heje Pedersen and Garleanu Nicolae
AQR Capital Management, LLC and affiliation not provided to SSRN
Downloads 128 (229,972)
Citation 19

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

NBER Working Paper No. w16777
Number of pages: 51 Posted: 14 Feb 2011
Nicolae Garleanu and Lasse Heje Pedersen
University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
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Citation 8

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37.

Dynamic Trading with Predictable Returns and Transaction Costs

NYU Working Paper No. 2451/28346
Number of pages: 45 Posted: 08 Dec 2009
Garleanu Nicolae and Lasse Heje Pedersen
affiliation not provided to SSRN and AQR Capital Management, LLC
Downloads 167 (184,273)
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38.

Securities Lending, Shorting, and Pricing

NYU Working Paper No. FIN-01-023
Number of pages: 35 Posted: 03 Nov 2008
Darrell Duffie, Nicolae Garleanu and Lasse Heje Pedersen
Stanford University - Graduate School of Business, University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
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39.

Adverse Selection and Re-Trade

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Adverse Selection and Re-Trade

Number of pages: 25 Posted: 04 Mar 2002
Nicolae Garleanu and Lasse Heje Pedersen
University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
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Adverse Selection and Re-Trade

NYU Working Paper No. FIN-03-045
Number of pages: 31 Posted: 11 Nov 2008
Nicolae Garleanu and Lasse Heje Pedersen
University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
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40.

Demand-Based Option Pricing

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Demand-Based Option Pricing

NYU Working Paper No. S-DRP-06-01
Number of pages: 48 Posted: 05 Nov 2008
Nicolae Gârleanu, Lasse Heje Pedersen and Allen M. Poteshman
affiliation not provided to SSRN, AQR Capital Management, LLC and University of Illinois at Urbana-Champaign - Department of Finance
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Demand-Based Option Pricing

The Review of Financial Studies, Vol. 22, Issue 10, pp. 4259-4299, 2009
Posted: 28 Sep 2009
Nicolae Gârleanu, Lasse Heje Pedersen and Allen M. Poteshman
affiliation not provided to SSRN, AQR Capital Management, LLC and University of Illinois at Urbana-Champaign - Department of Finance

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41.

Valuation in Over-the-Counter Markets

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Citation 10

Valuation in Over-the-Counter Markets

NYU Working Paper No. S-MF-04-04
Number of pages: 39 Posted: 12 Nov 2008
Darrell Duffie, Nicolae Gârleanu and Lasse Heje Pedersen
Stanford University - Graduate School of Business, affiliation not provided to SSRN and AQR Capital Management, LLC
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Valuation in Over-the-Counter Markets

NYU Working Paper No. FIN-03-041
Number of pages: 46 Posted: 11 Nov 2008
Darrell Duffie, Nicolae Garleanu and Lasse Heje Pedersen
Stanford University - Graduate School of Business, University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
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Citation 10

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Valuation in Over-the-Counter Markets

The Review of Financial Studies, Vol. 20, Issue 6, pp. 1865-1900, 2007
Posted: 26 Jun 2008
Darrell Duffie, Nicolae Gârleanu and Lasse Heje Pedersen
Stanford University - Graduate School of Business, affiliation not provided to SSRN and AQR Capital Management, LLC

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G1, G12, G14, D83, D4, D52

42.

Liquidity and Risk Management

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Liquidity and Risk Management

NBER Working Paper No. w12887
Number of pages: 18 Posted: 07 Feb 2007 Last Revised: 19 Sep 2010
Nicolae Garleanu and Lasse Heje Pedersen
University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
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Liquidity and Risk Management

American Economic Review Papers and Proceedings, Forthcoming
Posted: 27 Jan 2007
Nicolae Garleanu and Lasse Heje Pedersen
University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC

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liquidity, risk management, feedback effect, crises

43.

Over-the-Counter Markets

NYU Working Paper No. S-MF-04-05
Number of pages: 37 Posted: 12 Nov 2008
Darrell Duffie, Nicolae Gârleanu and Lasse Heje Pedersen
Stanford University - Graduate School of Business, affiliation not provided to SSRN and AQR Capital Management, LLC
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44.

Valuation in Dynamic Bargaining Markets

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Citation 19

Valuation in Dynamic Bargaining Markets

NYU Working Paper No. S-MF-01-01
Number of pages: 45 Posted: 12 Nov 2008
Darrell Duffie, Nicolae Garleanu and Lasse Heje Pedersen
Stanford University - Graduate School of Business, University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
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Valuation in Dynamic Bargaining Markets

NYU Working Paper No. FIN-01-022
Number of pages: 45 Posted: 03 Nov 2008
Darrell Duffie, Nicolae Garleanu and Lasse Heje Pedersen
Stanford University - Graduate School of Business, University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
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Citation 1

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45.

Valuation in Over-the-Counter Markets

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Citation 347

Valuation in Over-the-Counter Markets

NBER Working Paper No. w12020
Number of pages: 46 Posted: 27 Apr 2006 Last Revised: 02 Jul 2009
Nicolae Garleanu, Darrell Duffie and Lasse Heje Pedersen
University of California, Berkeley - Haas School of Business, Stanford University - Graduate School of Business and AQR Capital Management, LLC
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Valuation in Over-the-Counter Markets

CEPR Discussion Paper No. 5491
Number of pages: 48 Posted: 19 May 2006
Darrell Duffie, Nicolae Garleanu and Lasse Heje Pedersen
Stanford University - Graduate School of Business, University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
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Citation 47
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Search, bargaining, liquidity, risk, asset pricing

46.

Modeling Sovereign Yield Spreads: A Case Study of Russian Debts

NYU Working Paper No. FIN-01-021
Number of pages: 50 Posted: 03 Nov 2008
Darrell Duffie, Lasse Heje Pedersen and Kenneth J. Singleton
Stanford University - Graduate School of Business, AQR Capital Management, LLC and Stanford University - Graduate School of Business
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47.

Over-the-Counter Marketmaking

NYU Working Paper No. FIN-03-043
Number of pages: 35 Posted: 11 Nov 2008
Darrell Duffie, Nicolae Garleanu and Lasse Heje Pedersen
Stanford University - Graduate School of Business, University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
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48.

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

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Citation 100

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

NYU Working Paper No. S-CDM-01-05
Number of pages: 50 Posted: 05 Nov 2008
Darrell Duffie, Lasse Heje Pedersen and Kenneth J. Singleton
Stanford University - Graduate School of Business, AQR Capital Management, LLC and Stanford University - Graduate School of Business
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Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

NYU Working Paper No. S-DRP-01-09
Number of pages: 50 Posted: 07 Nov 2008
Darrell Duffie, Lasse Heje Pedersen and Kenneth J. Singleton
Stanford University - Graduate School of Business, AQR Capital Management, LLC and Stanford University - Graduate School of Business
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49.

Over-the-Counter Markets

NBER Working Paper No. w10816
Number of pages: 49 Posted: 19 Oct 2004 Last Revised: 23 Jul 2010
Darrell Duffie, Nicolae Garleanu and Lasse Heje Pedersen
Stanford University - Graduate School of Business, University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
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50.

Two Monetary Tools: Interest Rates and Haircuts

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Citation 44

Two Monetary Tools: Interest Rates and Haircuts

NBER Working Paper No. w16337
Number of pages: 41 Posted: 07 Sep 2010 Last Revised: 03 Oct 2010
Adam B. Ashcraft, Nicolae Garleanu and Lasse Heje Pedersen
Federal Reserve Bank of New York, University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
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Two Monetary Tools: Interest Rates and Haircuts

CEPR Discussion Paper No. DP8000
Number of pages: 43 Posted: 14 Nov 2010
Adam B. Ashcraft, Nicolae Garleanu and Lasse Heje Pedersen
Federal Reserve Bank of New York, University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
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Citation 4
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asset pricing, financial frictions, haircuts, liquidity, macroeconomics, margin requirements, monetary policy

51.

Repeated Auctions with Endogenous Selling

NYU Working Paper No. FIN-03-046
Number of pages: 36 Posted: 11 Nov 2008
Nicolae Garleanu and Lasse Heje Pedersen
University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
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auctions, revenue equivalence, no trade, volume, welfare

52.

Liquidity and Asset Prices

Foundations and Trends in Finance, Vol. 1, No. 4, 2005
Number of pages: 96 Posted: 15 Jun 2010
Yakov Amihud, Haim Mendelson and Lasse Heje Pedersen
New York University - Stern School of Business, Stanford University - Stanford Graduate School of Business and AQR Capital Management, LLC
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Citation 58
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53.

Buffett's Alpha

CEPR Discussion Paper No. DP9769
Number of pages: 48 Posted: 02 Dec 2013
Andrea Frazzini, David Kabiller and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
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betting against beta, leverage, market efficiency, quality, value

54.

Demystifying Managed Futures

Journal Of Investment Management (JOIM); Third Quarter 2013
Posted: 01 Oct 2013
Brian Hurst, Yao Hua Ooi and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC

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Managed futures, time series momentum, trends, commodity trading advisor (CTA), hedge funds, trading strategies

55.

Leverage Aversion and Risk Parity

Financial Analysts Journal, Vol. 68, No. 1, 2012
Posted: 24 Jan 2012
Clifford S. Asness, Andrea Frazzini and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC

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Portfolio Management, Portfolio Concepts from Capital Market Theory, Markowitz Portfolio Theory, Risk Management, Risk Management, Portfolio Risk Management, Risk Management Strategies

Other Papers (1)

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1.

Corporate Bond Specialness

EFA 2007 Ljubljana Meetings Paper
Number of pages: 35 Posted: 03 Mar 2007
Amrut J. Nashikkar and Lasse Heje Pedersen
New York University (NYU) - Department of Finance and AQR Capital Management, LLC
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Fixed Income, Corporate Bonds, Short-sales constraints