Department of Finance

Lasse Heje
PhD, Center for Financial Frictions (FRIC)

Room: SOL/A4.06
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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
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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.


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 & dissemination
Ken L. Bechmann; Lasse Heje Pedersen / Aktiv kontra passiv forvaltning
In: Finans/Invest, No. 3, 2017, p. 2-4
Viral V. Acharya; Lasse Heje Pedersen; Thomas Philippon; Matthew Richardson / Measuring Systemic Risk
In: Review of Financial Studies, Vol. 30, No. 1, 2017, p. 2-47
Journal article
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 The 43rd European Finance Association Annual Meeting (EFA 2016), 2016
Christian Skov Jensen; David Lando; Lasse Heje Pedersen / Generalized Recovery
Paper presented at 2016 Annual Meeting of the Society for Economic Dynamics , 2016
Ari Levine; Lasse Heje Pedersen / Which Trend is your Friend?
In: Financial Analysts Journal, Vol. 72, No. 3, 2016, p. 51-66
Journal article
Lasse Heje Pedersen / Efficiently Inefficient : How Smart Money Invests and Market Prices Are Determined.
Princeton, NJ : Princeton University Press 2015, 348 p.
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
Andrea Frazzini; Lasse Heje Pedersen / Betting against Beta
In: Journal of Financial Economics, Vol. 111, No. 1, 2014, p. 1-25
Journal article
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