lhpfi

Department of Finance

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


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

Lasse Heje Pedersen is professor of finance at Copenhagen Business School, 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.

Primary research areas
  • Liquidity risk
  • Asset pricing
  • Financial frictions, crisis, and systemic risk
  • Portfolio selection and dynamic trading
Administrative tasks


Social media
Links
Link to this homepage
www.cbs.dk/en/staff/lhpfi
Courses

Asset Management and Hedge Fund Strategies

Supervision


Other teaching activities


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 (2013), The Journal of Finance 68(3), 929-985.
Publications sorted by:
2020
Clifford S. Asness; Andrea Frazzini; Niels Joachim Gormsen; Lasse Heje Pedersen / Betting Against Correlation : Testing Theories of the Low-risk Effect.
In: Journal of Financial Economics, Vol. 135, No. 3, 3.2020, p. 629-652
Journal article > peer review
2019
Viral V. Acharya; Lasse Heje Pedersen / Economics with Market Liquidity Risk
In: Critical Finance Review, Vol. 8, No. 1-2, 17.12.2019, p. 111-125
Journal article > peer review
Christian Skov Jensen; David Lando; Lasse Heje Pedersen / Generalized Recovery
In: Journal of Financial Economics, Vol. 133, No. 1, 7.2019, p. 154-174
Journal article > peer review
Clifford S. Asness; Andrea Frazzini; Lasse Heje Pedersen / Quality Minus Junk
In: Review of Accounting Studies, Vol. 24, No. 1, 2019, p. 34–112
Journal article > peer review
2018
Clifford S. Asness; Andrea Frazzini; Niels Joachim Gormsen; Lasse Heje Pedersen / Betting Against Correlation : Testing Theories of the Low-risk Effect.
London : Centre for Economic Policy Research 2018, 65 p. (Centre for Economic Policy Research. Discussion Papers, No. DP12686)
Working paper
Andrea Frazzini; David Kabiller; Lasse Heje Pedersen / Buffett's Alpha
In: Financial Analysts Journal, Vol. 74, No. 4, 2018, p. 35-55
Journal article > peer review
Ralph S.J. Koijen; Tobias Moskowitz; Lasse Heje Pedersen; Evert B. Vrugt / Carry
In: Journal of Financial Economics, Vol. 127, No. 2, 2.2018, p. 197-225
Journal article > peer review
Clifford S. Asness; John M. Liew; Lasse Heje Pedersen; Ashwin K. Thapar / Deep Value
London : Centre for Economic Policy Research 2018, 62 p. (Centre for Economic Policy Research. Discussion Papers, No. DP12685)
Working paper
Nicolae Garleanu; Lasse Heje Pedersen / Efficiently Inefficient Markets for Assets and Asset Management
London : Centre for Economic Policy Research 2018, 65 p. (Centre for Economic Policy Research. Discussion Papers, No. DP12664)
Working paper
Nicolae Garleanu; Lasse Heje Pedersen / Efficiently Inefficient Markets for Assets and Asset Management
In: Journal of Finance, Vol. 73, No. 4, 2018, p. 1663-1712
Journal article > peer review
More results... (total 53 results)
Academic Interests


Research Projects
Outside activities

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.