NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Lasse H. Pedersen

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

Working Papers and Chapters

November 2013Buffett's Alpha
with Andrea Frazzini, David Kabiller, Lasse H. Pedersen: w19681
August 2013Carry
with Ralph S.J. Koijen, Tobias J. Moskowitz, Lasse Heje Pedersen, Evert B. Vrugt: w19325
November 2012Embedded Leverage
with Andrea Frazzini, Lasse H. Pedersen: w18558
May 2012Monitoring Leverage
with John Geanakoplos, Lasse Heje Pedersen
in Risk Topography: Systemic Risk and Macro Modeling, Markus K. Brunnermeier and Arvind Krishnamurthy, editors
February 2012How to Calculate Systemic Risk Surcharges
with Viral V. Acharya, Lasse H. Pedersen, Thomas Philippon, Matthew Richardson
in Quantifying Systemic Risk, Joseph G. Haubrich and Andrew W. Lo, editors
May 2011Two Monetary Tools: Interest Rates and Haircuts
with Adam Ashcraft, Nicolae Gârleanu, Lasse Heje Pedersen
in NBER Macroeconomics Annual 2010, Volume 25, Daron Acemoglu and Michael Woodford, editors
February 2011Margin-Based Asset Pricing and Deviations from the Law of One Price
with Nicolae Gârleanu, Lasse Heje Pedersen: w16777

Published: Nicolae G�rleanu & Lasse Heje Pedersen, 2011. "Margin-based Asset Pricing and Deviations from the Law of One Price," Review of Financial Studies, Society for Financial Studies, vol. 24(6), pages 1980-2022. citation courtesy of

December 2010Betting Against Beta
with Andrea Frazzini, Lasse H. Pedersen: w16601

Betting Against Beta,” 2010 (with Andrea Frazzini) Journal of Financial Economics, forthcoming. Swiss Finance Institute Outstanding Paper Award, 2011. Roger F. Murray Prize, 2011. Featured in The Economist, the Financial Times.

September 2010Two Monetary Tools: Interest Rates and Haircuts
with Adam Ashcraft, Nicolae Gârleanu, Lasse Heje Pedersen: w16337

Published: Two Monetary Tools: Interest Rates and Haircuts, Adam Ashcraft, Nicolae Gârleanu, Lasse Heje Pedersen. in NBER Macroeconomics Annual 2010, Volume 25, Acemoglu and Woodford. 2011

August 2009When Everyone Runs for the Exit
w15297

Published: Lasse Pedersen, 2009. "When Everyone Runs for the Exit," International Journal of Central Banking, International Journal of Central Banking, vol. 5(4), pages 177-199, December. citation courtesy of

Dynamic Trading with Predictable Returns and Transaction Costs
with Nicolae B. Garleanu, Lasse H. Pedersen: w15205

Published: "Dynamic Trading with Predictable Returns and Transaction Costs" (with Lasse Heje Pedersen). Journal of Finance, vol. 68 (2013), issue 6, pp. 2309-2340.

April 2009Carry Trades and Currency Crashes
with Markus K. Brunnermeier, Stefan Nagel, Lasse H. Pedersen
in NBER Macroeconomics Annual 2008, Volume 23, Daron Acemoglu, Kenneth Rogoff and Michael Woodford, editors
November 2008Carry Trades and Currency Crashes
with Markus K. Brunnermeier, Stefan Nagel, Lasse H. Pedersen: w14473

Published: Carry Trades and Currency Crashes, Markus K. Brunnermeier, Stefan Nagel, Lasse H. Pedersen. in NBER Macroeconomics Annual 2008, Volume 23, Acemoglu, Rogoff, and Woodford. 2009

December 2007How Sovereign is Sovereign Credit Risk?
with Francis A. Longstaff, Jun Pan, Lasse H. Pedersen, Kenneth J. Singleton: w13658

Published: Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2011. "How Sovereign Is Sovereign Credit Risk?," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(2), pages 75-103, April. citation courtesy of

February 2007Market Liquidity and Funding Liquidity
with Markus K. Brunnermeier, Lasse Heje Pedersen: w12939

Published: Markus K. Brunnermeier & Lasse Heje Pedersen, 2009. "Market Liquidity and Funding Liquidity," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 22(6), pages 2201-2238, June. citation courtesy of

Liquidity and Risk Management
with Nicolae B. Garleanu, Lasse H. Pedersen: w12887

Published: Nicolae Gârleanu & Lasse Heje Pedersen, 2007. "Liquidity and Risk Management," American Economic Review, American Economic Association, vol. 97(2), pages 193-197, May. citation courtesy of

January 2007Slow Moving Capital
with Mark Mitchell, Lasse Heje Pedersen, Todd Pulvino: w12877

Published: Mark Mitchell & Lasse Heje Pedersen & Todd Pulvino, 2007. "Slow Moving Capital," American Economic Review, American Economic Association, vol. 97(2), pages 215-220, May. citation courtesy of

February 2006Valuation in Over-the-Counter Markets
with Darrell Duffie, Nicolae Garleanu, Lasse Heje Pedersen: w12020

Published: Duffie, Darrell, Nicolae Garleanu, and Lasse Heje Pedersen. "Valuation in Over-the-Counter Markets." Review of Financial Studies 20, 5 (2007): 1865-1900. citation courtesy of

December 2005Demand-Based Option Pricing
with Nicolae Garleanu, Lasse Heje Pedersen, Allen M. Poteshman: w11843

Published: Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman, 2009. "Demand-Based Option Pricing," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 22(10), pages 4259-4299, October. citation courtesy of

October 2004Asset Pricing with Liquidity Risk
with Viral V. Acharya, Lasse Heje Pedersen: w10814

Published: Acharya, Viral V. and Lasse Heje Pedersen. "Asset Pricing With Liquidity Risk," Journal of Financial Economics, 2005, v77(2,Aug), 375-410. citation courtesy of

Over-the-Counter Markets
with Darrell Duffie, Nicolae Garleanu, Lasse Heje Pedersen: w10816

Published: Duffie, Darrell, Nicolae Garleanu and Lasse Heje Pedersen. "Over-the-Counter Markets," Econometrica, 2005, v73(6,Nov), 1815-1848. citation courtesy of

September 2004Predatory Trading
with Markus K. Brunnermeier: w10755

Published: Markus K. Brunnermeier & Lasse Heje Pedersen, 2005. "Predatory Trading," Journal of Finance, American Finance Association, vol. 60(4), pages 1825-1863, 08. citation courtesy of

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
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