Department of Finance

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

Room: SOL/A4.06
E-mail: lhp.fi@cbs.dk

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
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Asset Management and 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 (2013), The Journal of Finance 68(3), 929-985.
Publications sorted by:
Nicolae Gârleanu ; Lasse Heje Pedersen / Active and Passive Investing : Understanding Samuelson’s Dictum.
In: The Review of Asset Pricing Studies, 13.8.2021
Journal article > peer review
Clifford S. Asness; John M. Liew; Lasse Heje Pedersen; Ashwin K. Thapar / Deep Value
In: The Journal of Portfolio Management, Vol. 47, No. 4, 2021, p. 11-40
Journal article > peer review
Andrea Frazzini; Lasse Heje Pedersen / Embedded Leverage
In: The Review of Asset Pricing Studies, 27.9.2021
Journal article > peer review
Lasse Heje Pedersen; Abhilash Babu; Ari Levine / Enhanced Portfolio Optimization
In: Financial Analysts Journal, Vol. 77, No. 2, 2021, p. 124-151
Journal article > peer review
Theis Ingerslev Jensen; Bryan T. Kelly; Lasse Heje Pedersen / Is There a Replication Crisis in Finance?
Cambridge, MA : National Bureau of Economic Research (NBER) 2021, 52 p. (National Bureau of Economic Research. Working Paper Series, No. 28432)
Working paper
Lasse Heje Pedersen; Shaun Fitzgibbons; Lukasz Pomorski / Responsible Investing : The ESG-efficient Frontier.
In: Journal of Financial Economics, Vol. 142, No. 2, 11.2021, p. 572-597
Journal article > peer review
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
Ron Alquist; Andrea Frazzini; Antti Ilmanen; Lasse Heje Pedersen / Fact and Fiction about Low-Risk Investing
In: Journal of Portfolio Management, Vol. 46, No. 6, 6.2020, p. 72-92
Journal article > peer review
Bryan T. Kelly; Semyon Malamud; Lasse H. Pedersen / Principal Portfolios
Cambridge, MA : National Bureau of Economic Research (NBER) 2020, 62 p. (National Bureau of Economic Research. Working Paper Series, No. 27388)
Working paper
Abhilash Babu; Ari Levine; Yao Hua Ooi; Lasse Heje Pedersen; Erik Stamelos / Trends Everywhere
In: Journal of Investment Management, Vol. 18, No. 1, 2020, p. 52-68
Journal article > peer review
More results... (total 62 results)
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.