BIO
Lasse Heje Pedersen is a finance professor at Copenhagen Business School and NYU Stern School of Business and a principal at AQR Capital Management. 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, the Fama-DFA Prize, and the Michael Brennan Award. Lasse received his B.S. and M.S.
from University of Copenhagen and his Ph.D. from Stanford University Graduate School of Business. His latest book is Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined.
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 tightens.
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, embedded leverage, predatory trading, shortselling, optimal dynamic trading, and the why markets are efficiently inefficient.
In addition to liquidity risk, my research explores the other "big" factors that drive returns across
markets and asset classes: market exposure across asset class, betting against beta, quality minus junk, carry, size, value, momentum, and time series momentum. Indeed, safe,
high-quality, high-carry, cheap, and upward-trending
securities tend to outperform risky, junky, low-carry, expensive, and declining ones. These factors explain the returns of global securities, hedge funds, Warren Buffett, and much more.
NEWS
| Jan-16 | On the list of The World’s Most Influential Scientific Minds | | Dec-15 | Efficiently Inefficient on Business News Networks’ list of top financial reads of 2015 | | May-15 | Institutional Investor: Are Markets Efficient or Irrational? Actually, a Bit of Both | | Feb-15 | EliteForsk Award presented by H.R.H.Crown Princess Mary and the Minister for Higher Education and Science: English, Danish, press |
| Jan-15 |
New paper Size Matters, if You Control Your Junk featured in FT, Barrons, Forbes, Cliff's Perspective |
| Oct-13 |
The Nobel Prize Committee’s Scientific Background references Acharya and Pedersen (2005), Brunnermeier and Pedersen (2009), and Asness, Moskowitz, and Pedersen (2013) in connection with the award for asset pricing to Fama, Hansen, and
Shiller |
| Sep-13 |
Banque de France-TSE Prize in Monetary Economics and Finance 2013 |
| Aug-
13 |
Time Series Momentum wins the Whitebox Prize for Best Financial Research 2012 |
| Nov-
12 |
Winner
of Nykredit Research
Prize |
| Oct-12 |
Elected to
the Academia Europaea (the Academy of Europe) |
| Jun-12 |
Winner of
the Michael Brennan Award for the Best Paper
in the Review of Financial Studies. Read this |
| May-12 |
Awarded
the Bernácer Prize to the Best
E.U. Economist Under 40 Years of Age
Official press release. Speech by ECB Vice-President Constancio. Photo. Video clip. P&I. DR. JP. BT.
DJF. |
| Apr-12 |
Winner of
the SFI Outstanding Paper Award for the paper “Betting Against Beta” |
| Apr-12 |
Cited by
Chairman Ben Benanke in a speech about liquidity
spirals during the crisis |
| Nov-11 |
I was asked to give
a talk with Tips on How to Succeed in Academia for ph.d. students and junior
faculty |
| Aug-
11 |
Norwegian press
on liquidity crises and 13 experts' advice |
| Dec-10 |
Elected
as Director of the American Finance
Association |
| Oct-10 |
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. |
| Feb-10 |
The
Economist writes about my research on liquidity
risk and the rush the
exit in financial markets |
| Dec-09 |
Barron’s writes about the “liquidity movement” (local link) |
| Nov-09 |
Theory
of liquidity spirals mentioned in Wall Street Journal |
| Sep-09 |
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 |
| Sep-09 |
David Levine mentions my research on
liquidity risk in The Huffington Post |
| Sep-09 |
My paper When Everyone Runs for the Exit is discussed by Tom
Cooley in Forbes |
| Aug-09 |
New York Times writes about my paper
on the crisis, the quant event, and what happens When Everyone Runs for the Exit
|
| Jul-09 |
Marketwatch features the paper Value and Momentum Everywhere |
| May-09 |
Forbes features my paper on Carry Trades
and Currency Crashes |
| Apr-09 |
NASDAQ stock market closing bell on Times
Square |
| Jan-09 |
OpEd: A proposal to prevent wholesale financial
failure in Financial Times with
Nouriel Roubini |
| Dec-08 |
New York
Times writes about my research on
liquidity risk |
| Oct-08 |
Talks
at IMF and Federal Reserve
Board on the
liquidity crisis - slides here |
| Oct-08 |
Blog
entry on the current crisis at Stern on Finance
and VoxEU |
| Oct-08 |
Appointed to
the NASDAQ OMX Economic Advisory
Board |
| Oct-08 |
Quoted in the American
Banker (comment on equity
participation turned out true the next day) |
| Sep-08 |
New York Times writes about my new paper on
Value and Momentum
Everywhere |
| Apr-08 |
IMF's Global Financial Stability Report uses my papers on risk management and
funding liquidity |
| Aug-07 |
The Economist writes about my paper on Market Liquidity and
Funding Liquidity |
| Older |
Media mention in Germany, Norway, and my home country Denmark including
various TV and radio |
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