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

SCHOLARLY PAPERS

61

DOWNLOADS
Rank 27

SSRN RANKINGS

Top 27

in Total Papers Downloads

207,506

SSRN CITATIONS
Rank 8

SSRN RANKINGS

Top 8

in Total Papers Citations

5,311

CROSSREF CITATIONS

9,949

Scholarly Papers (61)

1.
Downloads 21,692 ( 143)
Citation 458

Value and Momentum Everywhere

AFA 2010 Atlanta Meetings Paper
Number of pages: 54 Posted: 20 Mar 2009
AQR Capital Management, LLC, Yale University, Yale SOMAQR Capital and AQR Capital Management, LLC
Downloads 12,387 (424)
Citation 413

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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
AQR Capital Management, LLC, Yale University, Yale SOMAQR Capital and AQR Capital Management, LLC
Downloads 9,305 (722)
Citation 102

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2.
Downloads 19,048 ( 182)
Citation 6

Buffett&Apos;S Alpha

Number of pages: 46 Posted: 28 Nov 2013 Last Revised: 11 Oct 2021
Andrea Frazzini, David Kabiller and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 10,045 (621)

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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 9,003 (768)
Citation 7

Abstract:

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

3.
Downloads 18,284 ( 207)
Citation 42

Size Matters, If You Control Your Junk

Fama-Miller Working Paper
Number of pages: 59 Posted: 23 Jan 2015 Last Revised: 16 Apr 2015
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC, Yale University, Yale SOMAQR Capital and AQR Capital Management, LLC
Downloads 17,145 (228)
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
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC, Yale University, Yale SOMAQR Capital and AQR Capital Management, LLC
Downloads 1,131 (23,844)
Citation 5

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Size Matters, If You Control Your Junk

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 8 (771,774)
Citation 15
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Junk, Microcap, Quality, Size, Size Anomaly, Size effect, Small Cap

4.

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 16,958 (236)
Citation 237

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Quality Investing, Quality Minus Junk, QMJ

5.
Downloads 14,015 ( 331)
Citation 13

Carry

Fama-Miller Working Paper
Number of pages: 67 Posted: 26 Jul 2013 Last Revised: 01 Nov 2016
University of Chicago - Booth School of Business, Yale University, Yale SOMAQR Capital, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 12,968 (386)
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
University of Chicago - Booth School of Business, Yale University, Yale SOMAQR Capital, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 840 (36,524)
Citation 10

Abstract:

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

Carry

Number of pages: 65 Posted: 17 Aug 2013 Last Revised: 22 Oct 2021
University of Chicago - Booth School of Business, Yale University, Yale SOMAQR Capital, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 200 (193,785)

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Carry

Number of pages: 66 Posted: 02 Dec 2013
University of Chicago - Booth School of Business, Yale University, Yale SOMAQR Capital, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 7 (780,402)
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bonds, carry trade, commodities, corporate bonds, currencies, global recessions, liquidity risk, options, predictability stocks, volatility risk

6.

Time Series Momentum

Chicago Booth Research Paper No. 12-21, Fama-Miller Working Paper
Number of pages: 62 Posted: 23 Jun 2012
Yale University, Yale SOMAQR Capital, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 11,037 (544)
Citation 179

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7.
Downloads 10,292 ( 611)
Citation 257

Measuring Systemic Risk

AFA 2011 Denver Meetings Paper
Number of pages: 46 Posted: 22 Mar 2010 Last Revised: 09 Aug 2010
ProfessorNew 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 6,209 (1,454)
Citation 126

Abstract:

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systemic risk, bailout, financial regulation, value at risk

Measuring Systemic Risk

Number of pages: 55 Posted: 24 Apr 2010 Last Revised: 28 Aug 2010
ProfessorNew 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 4,069 (3,040)
Citation 14

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

Measuring Systemic Risk

Number of pages: 49 Posted: 01 Mar 2012
ProfessorNew 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 (720,351)
Citation 87
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bailout, financial regulation, systemic risk, value at risk

8.
Downloads 9,344 ( 726)
Citation 1

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 9,339 (717)
Citation 2

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

Deep Value

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 (797,409)
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arbitrage, behavioral finance, bubbles, demand pressure, Market Efficiency, noise, over-reaction, value investing

9.

Responsible Investing: The ESG-Efficient Frontier

NYU Stern School of Business
Number of pages: 51 Posted: 18 Oct 2019 Last Revised: 20 Nov 2020
Lasse Heje Pedersen, Shaun Fitzgibbons and Lukasz Pomorski
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 8,279 (892)
Citation 35

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

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

Number of pages: 73 Posted: 08 Feb 2017 Last Revised: 21 Jun 2018
AQR Capital Management, LLC, AQR Capital Management, LLC, University of Chicago - Booth School of Business and AQR Capital Management, LLC
Downloads 7,771 (988)
Citation 5

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

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

Number of pages: 65 Posted: 14 Feb 2018
AQR Capital Management, LLC, AQR Capital Management, LLC, University of Chicago - Booth School of Business and AQR Capital Management, LLC
Downloads 2 (825,463)
Citation 9
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Asset Pricing, leverage constraints, lottery demand, margin, sentiment

11.

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 6,905 (1,236)
Citation 12

Abstract:

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

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 6,755 (1,288)
Citation 50

Abstract:

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

13.

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 6,674 (1,317)
Citation 12

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

14.
Downloads 5,349 ( 1,905)
Citation 2

Is There a Replication Crisis in Finance?

NYU Stern School of Business Forthcoming
Number of pages: 113 Posted: 05 Mar 2021 Last Revised: 23 Jun 2021
Theis Ingerslev Jensen, Bryan T. Kelly and Lasse Heje Pedersen
Copenhagen Business School, Yale SOM and AQR Capital Management, LLC
Downloads 5,337 (1,880)

Abstract:

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Asset Pricing, Factors, Data Mining, Replication, Multiple Testing, External Validity, Empirical Bayes, Bayesian Statistics

Is There a Replication Crisis in Finance?

Number of pages: 54 Posted: 08 Feb 2021 Last Revised: 18 Nov 2021
Theis Ingerslev Jensen, Bryan T. Kelly and Lasse Heje Pedersen
Copenhagen Business School, Yale SOM and AQR Capital Management, LLC
Downloads 12 (737,452)
Citation 1
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15.

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 4,009 (3,171)
Citation 20

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Low Beta, Betting against Beta

16.
Downloads 3,718 ( 3,598)
Citation 343

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 3,422 (4,061)
Citation 323

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Betting Against Beta

Number of pages: 71 Posted: 13 Dec 2010 Last Revised: 12 Nov 2021
Andrea Frazzini and Lasse Heje Pedersen
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 296 (131,398)
Citation 11

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17.
Downloads 3,528 ( 3,939)
Citation 667

Asset Pricing with Liquidity Risk

Number of pages: 58 Posted: 28 Jan 2003
Viral V. Acharya, Viral V. Acharya and Lasse Heje Pedersen
ProfessorNew York University - Leonard N. Stern School of Business and AQR Capital Management, LLC
Downloads 2,789 (5,762)
Citation 19

Abstract:

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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, Viral V. Acharya and Lasse Heje Pedersen
ProfessorNew York University - Leonard N. Stern School of Business and AQR Capital Management, LLC
Downloads 314 (123,241)
Citation 22

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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, Viral V. Acharya and Lasse Heje Pedersen
ProfessorNew York University - Leonard N. Stern School of Business and AQR Capital Management, LLC
Downloads 226 (172,572)

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Asset Pricing with Liquidity Risk

Number of pages: 60 Posted: 18 Oct 2004 Last Revised: 21 Jul 2021
Viral V. Acharya, Viral V. Acharya and Lasse Heje Pedersen
ProfessorNew York University - Leonard N. Stern School of Business and AQR Capital Management, LLC
Downloads 108 (319,245)
Citation 2

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Asset Pricing with Liquidity Risk

Number of pages: 47 Posted: 11 Jan 2005
Viral V. Acharya, Viral V. Acharya and Lasse Heje Pedersen
ProfessorNew York University - Leonard N. Stern School of Business and AQR Capital Management, LLC
Downloads 47 (507,909)
Citation 92
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Liquidity, liquidity risk, asset pricing, frictions, transaction costs

Asset Pricing with Liquidity Risk

Number of pages: 60 Posted: 07 Mar 2003
Viral V. Acharya, Viral V. Acharya and Lasse Heje Pedersen
ProfessorNew York University - Leonard N. Stern School of Business and AQR Capital Management, LLC
Downloads 44 (522,016)
Citation 16
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Liquidity, liquidity risk, capital asset pricing model (CAPM), liquidity premium, equilibrium asset pricing

Asset Pricing with Liquidity Risk

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

Abstract:

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

18.
Downloads 3,221 ( 4,617)
Citation 41

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 3,218 (4,545)
Citation 13

Abstract:

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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

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 (814,779)
Citation 21
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high-frequency data, Market and volatility risk, realized utility, realized volatility, risk modeling and forecasting, risk targeting, volatility trading

19.

Enhanced Portfolio Optimization

Lasse Heje Pedersen, Abhilash Babu, and Ari Levine (2021), Enhanced Portfolio Optimization, Financial Analysts Journal, 77:2, 124-151, DOI: 10.1080/0015198X.2020.1854543
Number of pages: 49 Posted: 02 Mar 2020 Last Revised: 30 Apr 2021
Lasse Heje Pedersen, Abhilash Babu and Ari Levine
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management
Downloads 2,949 (5,362)
Citation 4

Abstract:

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portfolio choice, optimization, robustness, Black-Litterman, machine learning

20.

Game On: Social Networks and Markets

NYU Stern School of Business Forthcoming
Number of pages: 52 Posted: 01 Mar 2021 Last Revised: 04 Oct 2021
Lasse Heje Pedersen
AQR Capital Management, LLC
Downloads 2,647 (6,393)
Citation 4

Abstract:

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Echo chambers, networks, influencers, fake news, social media, bubbles, asset prices, belief formation

21.

Trends Everywhere

Journal of Investment Management, Forthcoming, NYU Stern School of Business
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 2,607 (6,530)
Citation 3

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

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 2,426 (7,222)

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

Efficiently Inefficient Markets for Assets and Asset Management

Number of pages: 55 Posted: 21 Sep 2015 Last Revised: 03 Dec 2021
Nicolae Garleanu and Lasse Heje Pedersen
University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
Downloads 65 (435,408)
Citation 9

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Efficiently Inefficient Markets for Assets and Asset Management

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 25
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asset management, Asset Pricing, efficiency, Information, investment, liquidity, search

23.
Downloads 2,437 ( 7,300)
Citation 1

Principal Portfolios

Swiss Finance Institute Research Paper No. 20-67, NYU Stern School of Business
Number of pages: 98 Posted: 06 Aug 2020 Last Revised: 26 May 2021
Bryan T. Kelly, Semyon Malamud and Lasse Heje Pedersen
Yale SOM, Ecole Polytechnique Federale de Lausanne and AQR Capital Management, LLC
Downloads 2,415 (7,287)
Citation 1

Abstract:

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Portfolio choice, asset pricing tests, optimization, expected returns, predictability

Principal Portfolios

Number of pages: 72 Posted: 22 Jun 2020 Last Revised: 18 Nov 2021
Bryan T. Kelly, Semyon Malamud and Lasse Heje Pedersen
Yale SOM, Ecole Polytechnique Federale de Lausanne and AQR Capital Management, LLC
Downloads 22 (656,299)
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24.
Downloads 1,786 ( 12,065)
Citation 26

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 1,785 (11,864)
Citation 15

Abstract:

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

Generalized Recovery

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 (838,783)
Citation 11
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asset pricing theory, financial economics, pricing kernel, risk aversion

25.

Fact and Fiction about Low-Risk Investing

NYU Stern School of Business
Number of pages: 26 Posted: 25 Mar 2020
Ron Alquist, Andrea Frazzini, Antti Ilmanen and Lasse Heje Pedersen
Office of Financial Research, AQR Capital Management, LLC, AQR Capital Management and AQR Capital Management, LLC
Downloads 1,633 (13,889)

Abstract:

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Low-risk investing, betting against beta, capital asset pricing model, factor premiums

26.

Active and Passive Investing: Understanding Samuelson's Dictum

Number of pages: 68 Posted: 15 Oct 2018 Last Revised: 26 Aug 2021
Nicolae Garleanu and Lasse Heje Pedersen
University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
Downloads 1,549 (15,118)
Citation 7

Abstract:

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

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 1,022 (27,680)
Citation 1

Abstract:

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dynamic trading, predictability, transaction costs, portfolio choice

Dynamic Trading with Predictable Returns and Transaction Costs

Number of pages: 47 Posted: 11 Aug 2009 Last Revised: 19 Jul 2021
Nicolae Garleanu and Lasse Heje Pedersen
University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
Downloads 85 (373,489)

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Dynamic Trading with Predictable Returns and Transaction Costs

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 (814,779)
Citation 4
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dynamic trading, portfolio choice, predictability, transaction costs

28.
Downloads 1,096 ( 25,406)
Citation 3

Embedded Leverage

Number of pages: 60 Posted: 22 Nov 2012 Last Revised: 17 Sep 2021
Andrea Frazzini and Lasse Heje Pedersen
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 800 (38,976)
Citation 1

Abstract:

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Embedded Leverage

NYU Stern School of Business
Number of pages: 62 Posted: 28 Apr 2020
Andrea Frazzini and Lasse Heje Pedersen
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 296 (131,398)

Abstract:

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leverage, options, exchange traded funds, ETFs, asset pricing puzzles

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 1,012 (28,055)
Citation 10

Abstract:

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Securities Lending, Shorting, and Pricing

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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30.

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 912 (33,034)
Citation 9

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

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

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 891 (33,560)
Citation 20

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Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

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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32.
Downloads 881 ( 34,561)
Citation 1,221

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 694 (47,264)
Citation 28

Abstract:

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

Market Liquidity and Funding Liquidity

Number of pages: 48 Posted: 24 Feb 2007 Last Revised: 10 Nov 2021
Lasse Heje Pedersen and Markus K. Brunnermeier
AQR Capital Management, LLC and Princeton University - Department of Economics
Downloads 171 (222,712)
Citation 45

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Market Liquidity and Funding Liquidity

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 (703,613)
Citation 205
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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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33.
Downloads 841 ( 36,875)
Citation 175

Predatory Trading

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 507 (70,697)
Citation 2

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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 146 (254,489)
Citation 11

Abstract:

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Predation, Valuation, Liquidity, Risk Management, Systemic Risk

Predatory Trading

Number of pages: 56 Posted: 27 Sep 2004 Last Revised: 23 May 2021
Lasse Heje Pedersen and Markus K. Brunnermeier
AQR Capital Management, LLC and Princeton University - Department of Economics
Downloads 105 (325,616)
Citation 12

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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 56 (469,352)

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Predation, Valuation, Liquidity, Risk Management, Systemic Risk

Predatory Trading

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 (619,315)
Citation 19
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Dealer exit stress test, liquidity crisis, predation, valuation, liquidity, risk management, systemic risk

34.

Economics with Market Liquidity Risk

Critical Finance Review, special issue on “Liquidity: Replications, Extensions, and Critique”, Forthcoming, NYU Stern School of Business
Number of pages: 15 Posted: 14 Sep 2019
Viral V. Acharya, Viral V. Acharya and Lasse Heje Pedersen
ProfessorNew York University - Leonard N. Stern School of Business and AQR Capital Management, LLC
Downloads 783 (40,711)

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liquidity risk, asset pricing, financial crises, monetary policy, macroeconomics

35.
Downloads 714 ( 46,097)
Citation 130

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
University of Chicago - Booth School of Business, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 631 (53,596)
Citation 1

Abstract:

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

Slow Moving Capital

Number of pages: 17 Posted: 31 Jan 2007 Last Revised: 09 Sep 2021
Mark L. Mitchell, Lasse Heje Pedersen and Todd C. Pulvino
University of Chicago - Booth School of Business, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 80 (387,467)
Citation 12

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Slow Moving Capital

Number of pages: 19 Posted: 16 May 2008
Mark L. Mitchell, Lasse Heje Pedersen and Todd C. Pulvino
University of Chicago - Booth School of Business, AQR Capital Management, LLC and AQR Capital Management, LLC
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Citation 21
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Capital constraint, convertible bond, frictions, hedge funds, limits of arbitrage, liquidity, merger arbitrage, risk management, valuation

36.

Carry Trades and Currency Crashes

Number of pages: 36 Posted: 19 Jul 2012 Last Revised: 19 Jul 2021
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
Downloads 673 (49,884)
Citation 50

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37.
Downloads 579 ( 60,445)
Citation 199

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 465 (78,624)
Citation 3

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Options, demand pressure, price pressure, frictions, liquidity

Demand-Based Option Pricing

Number of pages: 49 Posted: 29 Mar 2006 Last Revised: 12 Nov 2021
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 83 (378,889)
Citation 28

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Demand-Based Option Pricing

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 (592,922)
Citation 37
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Option, demand, valuation, intermediation, market makers, implied volatility, hedging, price pressure, risk, dealers

38.

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 307 (126,991)
Citation 2

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

39.
Downloads 292 (133,935)
Citation 35

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 205 (189,241)

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When Everyone Runs for the Exit

Number of pages: 22 Posted: 31 Aug 2009 Last Revised: 20 Oct 2021
Lasse Heje Pedersen
AQR Capital Management, LLC
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When Everyone Runs for the Exit

Number of pages: 23 Posted: 07 Oct 2009
Lasse Heje Pedersen
AQR Capital Management, LLC
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Citation 8
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asset pricing, crisis, liquidity risk, quant, risk management, run, unconventional monetary policy

40.

How Sovereign is Sovereign Credit Risk?

Number of pages: 43 Posted: 19 Dec 2007 Last Revised: 28 Oct 2021
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
Downloads 250 (156,956)
Citation 4

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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 135 (271,063)
Citation 49

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

Number of pages: 51 Posted: 14 Feb 2011 Last Revised: 05 Nov 2021
Nicolae Garleanu and Lasse Heje Pedersen
University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
Downloads 62 (446,341)
Citation 25

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42.

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 193 (200,186)
Citation 29

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43.

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
Downloads 175 (218,164)
Citation 38

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44.
Downloads 172 (221,442)

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 172 (221,624)

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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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45.
Downloads 163 (231,659)
Citation 3

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 130 (278,836)
Citation 4

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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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46.
Downloads 146 (253,791)
Citation 10

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
Downloads 73 (408,618)
Citation 10

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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
Downloads 73 (408,618)

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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

47.
Downloads 129 (279,415)
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
Downloads 90 (360,210)
Citation 1

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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
Downloads 39 (547,278)
Citation 1

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48.

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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49.
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Liquidity and Risk Management

Number of pages: 18 Posted: 07 Feb 2007 Last Revised: 19 Sep 2021
Nicolae Garleanu and Lasse Heje Pedersen
University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
Downloads 123 (290,789)
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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

50.
Downloads 103 (327,700)
Citation 391

Valuation in Over-the-Counter Markets

Number of pages: 46 Posted: 27 Apr 2006 Last Revised: 06 Nov 2021
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 75 (402,267)
Citation 10

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Valuation in Over-the-Counter Markets

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 78
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Search, bargaining, liquidity, risk, asset pricing

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
Downloads 51 (489,970)

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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
Downloads 48 (503,239)
Citation 9

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52.

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
Downloads 99 (336,275)

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53.

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
Downloads 98 (338,433)

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54.

Over-the-Counter Markets

Number of pages: 49 Posted: 19 Oct 2004 Last Revised: 23 Jul 2021
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 93 (349,913)
Citation 8

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55.

How to Succeed in Academia or Have Fun Trying

Number of pages: 46 Posted: 28 Nov 2021
Lasse Heje Pedersen
AQR Capital Management, LLC
Downloads 91 (370,120)

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academia

56.
Downloads 78 (389,261)
Citation 47

Two Monetary Tools: Interest Rates and Haircuts

Number of pages: 41 Posted: 07 Sep 2010 Last Revised: 21 Feb 2021
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 74 (405,424)
Citation 12

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Two Monetary Tools: Interest Rates and Haircuts

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

57.

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

58.

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 62
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59.

Buffett's Alpha

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

60.

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

61.

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)

Total Downloads: 376
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 376

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Fixed Income, Corporate Bonds, Short-sales constraints