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Lasse Heje Pedersen |
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BIO:
Lasse Heje Pedersen is the John A. Paulson Professor of Finance and
Alternative Investments at the NYU Stern School of Business, a research
associate at CEPR and NBER, a principal at AQR Capital Management, and a
Director of the American Finance Association. Lasse has served in the Liquidity
Working Group meeting at the Federal Reserve Bank of
RESEARCH SUMMARY:
My research focuses on asset pricing and liquidity risk. It shows that a
security’s required return is increased by market liquidity risk (as captured
by the liquidity-adjusted capital asset pricing model) and funding
liquidity risk (as captured by the
margin CAPM), and how the interaction of market and funding liquidity can
create liquidity spirals and systemic
financial crisis. Indeed, when
everyone runs for the exit, prices drop-and-rebound, margins increase,
and risk management tighten.
These liquidity risk models can help explain equity returns, option prices, bond yields, currency crashes, valuation in OTC search markets, the CDS-bond basis and other failures of the Law of One Price, the effect of unconventional monetary policy such as central banks’ lending facilities, low-beta returns, predatory trading, shortselling, optimal dynamic trading, and other benefits of a realistic departure from classic frictionless finance theory.
In addition to liquidity risk, the other "big" factors that drive returns across markets and asset classes include market risk, betting against beta, carry, value, momentum, and time series momentum.
NEWS:
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Feb-13 |
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See data page with global risk factors across markets and asset classes and more |
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Nov-12 |
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Winner of Nykredit Research Prize |
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Oct-12 |
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Elected to the Academia Europaea (the Academy of Europe) |
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June-12 |
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Winner of the Michael
Brennan Award for the Best Paper in the Review of Financial Studies. Read
this |
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May-12 |
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Awarded the Bernácer
Prize to the Best E.U. Economist Under 40 Years of Age. |
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Apr-12 |
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Winner of the SFI Outstanding Paper Award for the paper “Betting Against Beta” |
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Apr-12 |
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Cited by Chairman Ben Benanke in a speech about liquidity spirals during the crisis |
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Nov-11 |
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I was asked to give a talk with Tips on How to Succeed in Academia for ph.d. students and junior faculty |
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Aug-11 |
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Norwegian press on liquidity crises and 13 experts' advice |
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Dec-10 |
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Elected as Director of the American Finance Association |
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Oct-27-10 |
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Frictional Finance (fricofinance): A presentation to Harvard students on how financial frictions affect asset prices, macro, monetary, and your life (ppt) |
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Oct-11-10 |
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The Nobel Prize Committee’s Scientific Background references Duffie, Garleanu, and Pedersen (2005) in connection with the award for markets with search frictions to Diamond, Mortensen, and Pissarides. |
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Feb-11-10 |
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The Economist writes
about my research on liquidity risk and the
rush the exit in financial markets |
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Dec-29-09 |
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Barron’s writes about the “liquidity
movement” (local
link) |
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Nov-4-09 |
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Theory of liquidity spirals mentioned in Wall Street Journal online |
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Sep-29-09 |
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OpEd: Saving free markets from market failure: institutions and liquidity are crucial in Forbes. Chinese version, Sina: 佩德森：避免自由市场失灵 |
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Sep-18-09 |
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David Levine mentions my research on liquidity risk in The Huffington Post |
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Sep-09-09 |
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My paper When
Everyone Runs for the Exit is discussed
by Tom Cooley in Forbes |
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Aug-08-09 |
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New York Times writes about my paper on the crisis, the quant event, and what happens When Everyone Runs for the Exit |
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Jul-21-09 |
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Marketwatch features the paper Value and Momentum Everywhere |
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May-28-09 |
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Forbes features my paper on Carry Trades and Currency Crashes |
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Apr-14-09 |
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NASDAQ stock
market closing
bell on |
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Jan-30-09 |
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OpEd: A
proposal to prevent wholesale financial failure in Financial Times with
Nouriel Roubini |
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Dec-29-08 |
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New York Times writes about my research on liquidity risk |
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Oct-20-08 |
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Talks at IMF and Federal Reserve Board on the liquidity crisis - slides here |
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Oct-15-08 |
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Blog entry on the current crisis at Stern on Finance and VoxEU |
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Oct-13-08 |
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Appointed to the NASDAQ OMX Economic Advisory Board |
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Oct-9-08 |
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Quoted in the American Banker (comment on equity participation turned out true the next day) |
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Sep-13-08 |
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New York Times writes about my new paper on Value and Momentum Everywhere |
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Apr-08 |
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IMF's Global Financial Stability Report uses my papers on risk management and funding liquidity |
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Aug-30-07 |
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The Economist writes about my paper on Market Liquidity and Funding Liquidity |
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Misc. |
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Media mention in Germany, Norway, and my home country Denmark including various TV and radio |
When the river runs dry: The
perils of a sudden evaporation of liquidity
The Economist
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