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. More broadly, I study the economics of investment management, including sharpening he arithmetic of active management and how asset management really works.

DISCLOSURE STATEMENT  

I hold a number of academic and professional appointments as seen on my vita, including my professorships and my position as a principal at AQR Capital Management. AQR Capital Management is a global investment management firm, which may or may not apply similar investment techniques or methods of analysis as described in my writings; the views expressed in my writings are those of the authors and not necessarily those of AQR.

NEWS

Jun-18	Meet a Nordic prodigy - my students are going to Chicago and Bocconi this year
Mar-18	Talk on academic impact (prepared for a workshop for CBS management)
Feb-18	The Economist writes about my research on sharpening the arithmetic of active management
Nov-17	The World’s Most Influential Scientific Minds 2017 (list of Highly Cited Researchers by Clarivate)
May-17	Elected to The Royal Danish Academy of Sciences and Letters
Jan-16	On the list of The World’s Most Influential Scientific Minds 2016
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

When the river runs dry: The perils of a sudden evaporation of liquidity