SSRN logo
Public User
Advanced Search

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)

77 Bastwick Street

London, EC1V 3PZ

United Kingdom

  • AQR Capital Management, LLC

  • Copenhagen Business School - Department of Finance

  • New York University (NYU)

  • Centre for Economic Policy Research (CEPR)

SCHOLARLY PAPERS

50

DOWNLOADS
Rank 53

SSRN RANKINGS

Top 53

in Total Papers Downloads

97,297

CITATIONS
Rank 71

SSRN RANKINGS

Top 71

in Total Papers Citations

3,113

Scholarly Papers (50)

Actions:
Email selected abstracts
1.

Value and Momentum Everywhere

Downloads 16,130 ( 129)
Citation 89

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 10,452 (272)
Citation 89

Abstract:

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 5,678 (882)
Citation 89

Abstract:

2.

Size Matters, If You Control Your Junk

Downloads 12,845 ( 189)

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 12,389 (197)

Abstract:

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 456 (50,126)

Abstract:

3.

Measuring Systemic Risk

Downloads 8,793 ( 408)
Citation 100

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 5,050 (1,077)
Citation 100

Abstract:

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 3,729 (1,825)
Citation 100

Abstract:

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 (494,151)
Citation 100

Abstract:

bailout, financial regulation, systemic risk, value at risk

4.

Carry

Downloads 7,711 ( 520)
Citation 4

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
New York University (NYU) - Department of Finance, Yale University, Yale SOM, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 7,267 (568)
Citation 4

Abstract:

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
New York University (NYU) - Department of Finance, Yale University, Yale SOM, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 371 (64,088)
Citation 4

Abstract:

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
Ralph S. J. Koijen, Tobias J. Moskowitz, Lasse Heje Pedersen and Evert B. Vrugt
New York University (NYU) - Department of Finance, Yale University, Yale SOM, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 69 (281,769)
Citation 4

Abstract:

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
New York University (NYU) - Department of Finance, Yale University, Yale SOM, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 4 (548,181)
Citation 4

Abstract:

bonds, carry trade, commodities, corporate bonds, currencies, global recessions, liquidity risk, options, predictability stocks, volatility risk

5.

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 5,425 (253)
Citation 2

Abstract:

Quality Investing, Quality Minus Junk, QMJ

6.

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 3,312 (1,029)
Citation 28

Abstract:

7.

Asset Pricing with Liquidity Risk

Downloads 3,130 ( 2,536)
Citation 407

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 2,534 (3,602)
Citation 407

Abstract:

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 217 (115,705)
Citation 407

Abstract:

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 200 (125,425)
Citation 407

Abstract:

Asset Pricing with Liquidity Risk

NBER Working Paper No. w10814
Number of pages: 60 Posted: 18 Oct 2004
Viral V. Acharya and Lasse Heje Pedersen
New York University - Leonard N. Stern School of Business and AQR Capital Management, LLC
Downloads 88 (243,030)
Citation 407

Abstract:

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 (341,684)
Citation 407

Abstract:

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 (351,507)
Citation 407

Abstract:

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

Abstract:

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

8.

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 2,994 (2,061)

Abstract:

Low Beta, Betting against Beta

9.

Betting Against Beta

Downloads 2,419 ( 3,972)
Citation 47

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 2,290 (4,287)
Citation 47

Abstract:

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 129 (184,327)
Citation 47

Abstract:

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 1,337 (1,708)

Abstract:

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

11.

Efficiently Inefficient Markets for Assets and Asset Management

Downloads 1,178 ( 13,342)

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 1,158 (13,437)

Abstract:

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 20 (459,270)

Abstract:

12.

Dynamic Trading with Predictable Returns and Transaction Costs

Downloads 930 ( 19,105)
Citation 9

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 890 (20,009)
Citation 9

Abstract:

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 37 (376,548)
Citation 9

Abstract:

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 (553,670)
Citation 9

Abstract:

dynamic trading, portfolio choice, predictability, transaction costs

13.

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

Downloads 820 ( 22,996)
Citation 100

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 820 (22,617)
Citation 100

Abstract:

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

Abstract:

14.

Securities Lending, Shorting, and Pricing

Downloads 803 ( 23,691)
Citation 115

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 803 (23,302)
Citation 115

Abstract:

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

Abstract:

15.

Market Liquidity and Funding Liquidity

Downloads 740 ( 26,578)
Citation 471

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 602 (34,771)
Citation 471

Abstract:

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
Lasse Heje Pedersen and Markus K. Brunnermeier
AQR Capital Management, LLC and Princeton University - Department of Economics
Downloads 122 (192,572)
Citation 471

Abstract:

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 (482,423)
Citation 471

Abstract:

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

Abstract:

16.

Predatory Trading

Downloads 657 ( 31,401)
Citation 126

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 426 (54,225)
Citation 126

Abstract:

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 112 (205,448)
Citation 126

Abstract:

Predation, Valuation, Liquidity, Risk Management, Systemic Risk

Predatory Trading

NBER Working Paper No. w10755
Number of pages: 56 Posted: 27 Sep 2004
Lasse Heje Pedersen and Markus K. Brunnermeier
AQR Capital Management, LLC and Princeton University - Department of Economics
Downloads 56 (314,474)
Citation 126

Abstract:

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 36 (380,368)
Citation 126

Abstract:

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 (420,196)
Citation 126

Abstract:

Dealer exit stress test, liquidity crisis, predation, valuation, liquidity, risk management, systemic risk

17.

Slow Moving Capital

Downloads 653 ( 31,648)
Citation 68

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 596 (35,236)
Citation 68

Abstract:

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
Mark L. Mitchell, Lasse Heje Pedersen and Todd C. Pulvino
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 54 (320,295)
Citation 68

Abstract:

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 (553,670)
Citation 68

Abstract:

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

18.

Demand-Based Option Pricing

Downloads 493 ( 45,727)
Citation 106

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 414 (56,187)
Citation 106

Abstract:

Options, demand pressure, price pressure, frictions, liquidity

Demand-Based Option Pricing

NBER Working Paper No. w11843
Number of pages: 49 Posted: 29 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
Downloads 48 (338,617)
Citation 106

Abstract:

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
Downloads 31 (401,183)
Citation 106

Abstract:

Option, demand, valuation, intermediation, market makers, implied volatility, hedging, price pressure, risk, dealers

19.

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 363 (42,487)

Abstract:

20.

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 Michigan, Stephen M. Ross School of Business and AQR Capital Management, LLC
Downloads 320 (76,763)
Citation 93

Abstract:

21.

Monitoring Leverage

Cowles Foundation Discussion Paper No. 1838
Number of pages: 19 Posted: 02 Dec 2011
John Geanakoplos and Lasse Heje Pedersen
Yale University - Cowles Foundation and AQR Capital Management, LLC
Downloads 262 (95,772)
Citation 1

Abstract:

Leverage, Loan to value, Margins, Haircuts, Monitor, Regulate, Leverage on new loans, Asset leverage, Investor leverage

22.

When Everyone Runs for the Exit

Downloads 222 (113,583)
Citation 15

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
Downloads 172 (144,323)
Citation 15

Abstract:

When Everyone Runs for the Exit

NBER Working Paper No. w15297
Number of pages: 22 Posted: 31 Aug 2009
Lasse Heje Pedersen
AQR Capital Management, LLC
Downloads 44 (351,507)
Citation 15

Abstract:

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
Downloads 6 (538,156)
Citation 15

Abstract:

asset pricing, crisis, liquidity risk, quant, risk management, run, unconventional monetary policy

23.

How Sovereign is Sovereign Credit Risk?

NBER Working Paper No. W13658
Number of pages: 43 Posted: 19 Dec 2007
Francis A. Longstaff, Jun Pan, Lasse Heje Pedersen and Kenneth J. Singleton
University of California, Los Angeles (UCLA) - Finance Area, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA), AQR Capital Management, LLC and Stanford University - Graduate School of Business
Downloads 169 (133,064)
Citation 74

Abstract:

24.

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

Downloads 161 (152,978)
Citation 60

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 118 (197,614)
Citation 60

Abstract:

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
Downloads 43 (354,906)
Citation 60

Abstract:

25.

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, University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
Downloads 140 (168,285)
Citation 115

Abstract:

26.

Adverse Selection and Re-Trade

Downloads 133 (179,308)
Citation 5

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
Downloads 111 (206,812)
Citation 5

Abstract:

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
Downloads 22 (447,812)
Citation 5

Abstract:

27.

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 117 (171,153)
Citation 1

Abstract:

28.

Demand-Based Option Pricing

Downloads 117 (198,042)
Citation 105

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
Downloads 117 (198,858)
Citation 105

Abstract:

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

Abstract:

29.

Valuation in Over-the-Counter Markets

Downloads 108 (209,952)

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, affiliation not provided to SSRN and AQR Capital Management, LLC
Downloads 60 (303,653)
Citation 143

Abstract:

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, University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
Downloads 48 (338,617)
Citation 143

Abstract:

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, affiliation not provided to SSRN and AQR Capital Management, LLC

Abstract:

G1, G12, G14, D83, D4, D52

30.

Liquidity and Risk Management

Downloads 98 (223,268)

Liquidity and Risk Management

NBER Working Paper No. w12887
Number of pages: 18 Posted: 07 Feb 2007
Nicolae Garleanu and Lasse Heje Pedersen
University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
Downloads 98 (226,161)
Citation 21

Abstract:

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

Abstract:

liquidity, risk management, feedback effect, crises

31.

Valuation in Dynamic Bargaining Markets

Downloads 86 (244,645)
Citation 5

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, University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
Downloads 59 (306,282)
Citation 5

Abstract:

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, University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
Downloads 27 (420,196)
Citation 5

Abstract:

32.

Valuation in Over-the-Counter Markets

Downloads 85 (246,500)
Citation 143

Valuation in Over-the-Counter Markets

NBER Working Paper No. w12020
Number of pages: 46 Posted: 27 Apr 2006
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
Downloads 57 (311,749)
Citation 142

Abstract:

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
Downloads 28 (415,220)
Citation 143

Abstract:

Search, bargaining, liquidity, risk, asset pricing

33.

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, affiliation not provided to SSRN and AQR Capital Management, LLC
Downloads 84 (236,079)
Citation 138

Abstract:

34.

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, AQR Capital Management, LLC and Stanford University - Graduate School of Business
Downloads 80 (248,296)
Citation 83

Abstract:

35.

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, University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
Downloads 67 (267,959)
Citation 4

Abstract:

36.

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

Downloads 66 (287,749)
Citation 99

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, AQR Capital Management, LLC and Stanford University - Graduate School of Business
Downloads 39 (369,018)
Citation 99

Abstract:

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, AQR Capital Management, LLC and Stanford University - Graduate School of Business
Downloads 27 (425,412)
Citation 99

Abstract:

37.

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
Downloads 59 (283,146)
Citation 138

Abstract:

38.

Two Monetary Tools: Interest Rates and Haircuts

Downloads 58 (304,808)
Citation 11

Two Monetary Tools: Interest Rates and Haircuts

NBER Working Paper No. w16337
Number of pages: 41 Posted: 07 Sep 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
Downloads 54 (320,295)
Citation 11

Abstract:

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
Downloads 4 (548,181)
Citation 11

Abstract:

asset pricing, financial frictions, haircuts, liquidity, macroeconomics, margin requirements, monetary policy

39.

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
Downloads 29 (361,575)
Citation 1

Abstract:

auctions, revenue equivalence, no trade, volume, welfare

40.

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
Downloads 20 (444,089)
Citation 133

Abstract:

41.

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 19 (151,357)
Citation 8

Abstract:

42.

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 15 (26,895)

Abstract:

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

43.

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
Downloads 12 (475,228)

Abstract:

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

44.

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 0 (9,294)
Citation 3

Abstract:

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

45.

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

Number of pages: 62 Posted: 08 Feb 2017 Last Revised: 30 Jun 2017
Clifford S. Asness, Andrea Frazzini, Niels Joachim Gormsen and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC, Copenhagen Business School and AQR Capital Management, LLC
Downloads 0 (1,421)

Abstract:

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

46.

Sharpening the Arithmetic of Active Management

Number of pages: 23 Posted: 07 Oct 2016 Last Revised: 02 Jun 2017
Lasse Heje Pedersen
AQR Capital Management, LLC
Downloads 0 (1,936)

Abstract:

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

47.

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, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 0 (5,967)

Abstract:

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

48.

Generalized Recovery

Number of pages: 63 Posted: 08 Dec 2015 Last Revised: 26 Jun 2017
Christian Skov Jensen, David Lando and Lasse Heje Pedersen
Copenhagen Business School - Department of Finance, Copenhagen Business School - Department of Finance and AQR Capital Management, LLC
Downloads 0 (18,455)

Abstract:

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

49.

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

Abstract:

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

50.

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

Abstract:

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

Other Papers (1)

Total Downloads: 302    Citations: 10
Actions:
Email selected abstracts
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
Downloads 253
Citation 10

Abstract:

Fixed Income, Corporate Bonds, Short-sales constraints

Submit a Paper Section 508 Text Only Pages

Quick Links

Research Paper Series Conference Papers Partners in Publishing Organization Homepages Newsletter Sign Up

Rankings

Top Papers Top Authors Top Organizations

About

SSRN Objectives Network Directors Presidential Letter Announcements Contact us FAQs
Elsevier logo
Copyright Terms and Conditions Privacy Policy

Cookies are used by this site. To decline or learn more, visit our Cookies page. This page was processed by apollobot1 in 2.804 seconds

Relx Group logo