Department of Finance

lhpfi

Department of Finance

  • Center for Big Data in Finance
Lasse Heje
Pedersen
Professor
,
Ph.D, Director of the Center for Big Data in Finance


Kontor: SOL/A4.06
Tel:
+4538153902
E-mail: lhp.fi@cbs.dk
Præsentation

Lasse Heje Pedersen is professor of finance at Copenhagen Business School, director of the Center for Big Data in Finance, a principal at AQR Capital Management, and a Research Fellow at the Centre for Economic Policy Research (CEPR). He has served as Director of the American Finance Association, in the Liquidity Working Group meeting at the Federal Reserve Bank of New York to address liquidity issues, in the New York Fed’s Monetary Policy Panel, on the Economic Advisory Boards of NASDAQ and FTSE, and on the editorial boards of the Journal of Finance, Journal of Economic Theory, The Review of Asset Pricing Studies, and Quarterly Journal of Economics. His academic awards include the Bernácer Prize to the best E.U. economist under 40 years of age, the Banque de France-TSE Prize, Fama-DFA Prizes, the Michael Brennan Award, the Brattle Prize, and the Graham and Dodd Award. Lasse received his B.S. and M.S. from University of Copenhagen and his Ph.D. from Stanford University Graduate School of Business. He has authored a number of highly cited research papers and his latest book is Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined.

Primære forskningsområder
  • Liquidity risk
  • Asset pricing
  • Financial frictions, crisis, and systemic risk
  • Portfolio selection and dynamic trading
Administrative opgaver


Sociale medier
Links

Personal website

Link til denne hjemmeside
www.cbs.dk/staff/lhpfi
Kurser

Asset Management and Hedge Fund Strategies

Vejledning


Andre undervisningsaktiviteter


Udvalgte publikationer
  • 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 (2013), The Journal of Finance 68(3), 929-985.
Publikationer sorteret efter:
2023
Theis Ingerslev Jensen; Bryan T. Kelly; Lasse Heje Pedersen / Is There a Replication Crisis in Finance?
I: Journal of Finance, Vol. 78, Nr. 5, 10.2023, s. 2465-2518
Tidsskriftartikel > peer review
Bryan T. Kelly; Semyon Malamud; Lasse Heje Pedersen / Principal Portfolios
I: Journal of Finance, Vol. 78, Nr. 1, 2.2023, s. 347-387
Tidsskriftartikel > peer review
2022
Nicolae Gârleanu ; Lasse Heje Pedersen / Active and Passive Investing : Understanding Samuelson’s Dictum.
I: The Review of Asset Pricing Studies, Vol. 12, Nr. 2, 6.2022, s. 389-446
Tidsskriftartikel > peer review
Andrea Frazzini; Lasse Heje Pedersen / Embedded Leverage
I: The Review of Asset Pricing Studies, Vol. 12, Nr. 1, 3.2022, s. 1-52
Tidsskriftartikel > peer review
Lasse Heje Pedersen / Game On : Social Networks and Markets.
Paper presented at ASSA 2022 Virtual Annual Meeting, 2022
Paper > peer review
Lasse Heje Pedersen / Game On : Social Networks and Markets.
I: Journal of Financial Economics, Vol. 146, Nr. 3, 12.2022, s. 1097-1119
Tidsskriftartikel > peer review
Theis Ingerslev Jensen; Bryan T. Kelly; Lasse Heje Pedersen / Is There a Replication Crisis in Finance?
Paper presented at The 82nd Annual Meeting of American Finance Association. AFA 2022, 2022
Paper > peer review
Theis Ingerslev Jensen; Bryan T. Kelly; Semyon Malamud; Lasse Heje Pedersen / Machine Learning and the Implementable Efficient Frontier
Zürich : Swiss Finance Institute 2022, 70 s. (Swiss Finance Institute Research Paper Series, Nr. 22-63)
Working paper
2021
Clifford S. Asness; John M. Liew; Lasse Heje Pedersen; Ashwin K. Thapar / Deep Value
I: The Journal of Portfolio Management, Vol. 47, Nr. 4, 2021, s. 11-40
Tidsskriftartikel > peer review
Lasse Heje Pedersen; Abhilash Babu; Ari Levine / Enhanced Portfolio Optimization
I: Financial Analysts Journal, Vol. 77, Nr. 2, 2021, s. 124-151
Tidsskriftartikel > peer review
Flere resultater ...(i alt 69 )
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Forskningsprojekter
Bibeskæftigelse

In addition to being a professor, I am affiliated with AQR Capital Management, a global investment management firm, which may or may not apply similar investment techniques or methods of analysis as described in my writings; the views expressed in my writings are those of the authors and not necessarily those of AQR. See my vita for further details on past and current positions.