NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

When Everyone Runs for the Exit

Lasse Heje Pedersen

NBER Working Paper No. 15297
Issued in August 2009

---- Acknowledgements -----

I am grateful for helpful comments from Yakov Amihud, Jacob Bock Axelsen, David Backus, Markus Brunnermeier, Jennifer Carpenter, Douglas Gale (the editor), Arvind Krishnamurthy, Bill Silber, and Jeff Wurgler, as well as from participants at the Inaugural Financial Stability Conference on Provision and Pricing of Liquidity Insurance hosted by the International Journal of Central Banking and the Federal Reserve Bank of New York. This paper has benefitted from the insights gained at AQR Capital Managements, including from Michele Aghassi, Cliff Asness, Ronen Israel, Toby Moskowitz, Lars Nielsen, and Humbert Suarez. The author is affiliated with AQR Capital Management, a global asset management firm that may apply some of the principles discussed in this research in some of its investment products. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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