lhpfi

Department of Finance

Lasse Heje
Pedersen
Professor
,
PhD, Center for Financial Frictions (FRIC)


Room: SOL/A4.06
Tel:
+4538153902
, Mobile:
22334455
E-mail: lhp.fi@cbs.dk
Research directories and social medias
Primary research areas
  • Liquidity risk
  • Asset pricing
  • Financial frictions, crisis, and systemic risk
  • Portfolio selection and dynamic trading
Links
Link to this homepage
www.cbs.dk/en/staff/lhpfi
Presentation

Prof. Lasse Heje Pedersen is a research associate at CEPR and NBER, a Director of the American Finance Association, and a principal at AQR Capital. He has served on the on the editorial boards of several leading finance and economics journals, the New York Fed’s Monetary Policy Panel, and the Economic Advisory Boards of NASDAQ and FTSE. Lasse Heje Pedersen won the 2011 Bernácer Prize to the Best E.U. Economist Under 40 Years of Age. He received his B.S. and M.S. in from University of Copenhagen and his Ph.D. from Stanford University Graduate School of Business.

Courses

Hedge Fund Strategies

Selected publications
  • Asset Pricing with Liquidity Risk, Viral Acharya and Lasse Heje Pedersen (2005), Journal of Financial Economics, 77, 375-410.
  • Market Liquidity and Funding Liquidity, Markus Brunnermeier and Lasse H. Pedersen (2009), The Review of Financial Studies, 22, 2201-2238.
  • Margin-Based Asset Pricing and Deviations from the Law of One Price, Nicolae Garleanu and Lasse Heje Pedersen (2011), The Review of Financial Studies, 24(6), 1980-2022.
  • Over-the-Counter Markets, Darrell Duffie, Nicolae Garleanu, and Lasse Heje Pedersen (2005), Econometrica, 73, 1815-1847.
  • Value and Momentum Everywhere, Cliff Asness, Tobias Moskowitz, and Lasse Heje Pedersen (2012), The Journal of Finance, forthcoming.
Publications
2016
Nicolae Garleanu; Lasse Heje Pedersen / Dynamic Portfolio Choice with Frictions
In: Journal of Economic Theory, Vol. 165, 9.2016, p. 487-516
Journal article
Mads Vestergaard Jensen; Lasse Heje Pedersen / Early Option Exercise : Never Say Never.
In: Journal of Financial Economics, Vol. 121, No. 2, 2016, p. 278-299
Journal article
Christian Skov Jensen; David Lando; Lasse Heje Pedersen / Generalized Recovery
Paper presented at 2016 Annual Meeting of the Society for Economic Dynamics , 2016
Paper
Ari Levine; Lasse Heje Pedersen / Which Trend Is Your Friend?
In: Financial Analysts Journal, Vol. 72, No. 3, 2016, p. 51-66
Journal article
2015
Lasse Heje Pedersen / Efficiently Inefficient : How Smart Money Invests and Market Prices Are Determined.
Princeton, NJ : Princeton University Press 2015, 348 p.
Book
Clifford S. Asness; Andrea Frazzini; Lasse Heje Pedersen / Quality Minus Junk
Paper presented at The 75th Annual Meeting of American Finance Association. AFA 2015, 2015
Paper
2014
Andrea Frazzini; Lasse Heje Pedersen / Betting against Beta
In: Journal of Financial Economics, Vol. 111, No. 1, 2014, p. 1-25
Journal article
Clifford S. Asness; Andrea Frazzini; Lasse Heje Pedersen / Low-Risk Investing without Industry Bets
In: Financial Analysts Journal, Vol. 70, No. 4, 2014, p. 24-41
Journal article
John Geanakoplos; Lasse Heje Pedersen / Monitoring Leverage
In: Risk Topography: Systemic Risk and Macro Modeling. . ed. /Markus Brunnermeier; Arvind Krishnamurthy. Chicago : University of Chicago Press 2014, p. 113-127
Book chapter
2013
Brian Hurst,; Yao Hua Ooi; Lasse Heje Pedersen / Demystifying Managed Futures
In: Journal of Investment Management, Vol. 11, No. 3, 2013, p. 42-58
Journal article
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