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

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.

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

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 (2012), The Journal of Finance, forthcoming.
Publications sorted by:
2019
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
David Lando; Lasse Heje Pedersen; Christian Skov Jensen / Generalized Recovery
London : Centre for Economic Policy Research 2018, 66 p. (Centre for Economic Policy Research. Discussion Papers, No. DP12665)
Working paper
Tim Bollerslev; Benjamin Hood; John Huss; Lasse Heje Pedersen / Risk Everywhere : Modeling and Managing Volatility.
London : Centre for Economic Policy Research 2018, p. 57 (Centre for Economic Policy Research. Discussion Papers, No. DP12687)
Working paper
More results... (total 51 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.