Data

Global Factors


Corporate Bond Factors: Replication Failures and a New Framework, Jens Dick-Nielsen, Peter Feldhütter, Lasse Heje Pedersen, and Christian Stolborg.

Data on corporate bond factors


Is There a Replication Crisis in Finance? Theis Ingerslev Jensen, Bryan Kelly, and Lasse Heje Pedersen, The Journal of Finance (2023), 78(5), 2465-2518.

Updated global equity factor returns available using an easy drop-down menu, link to stock-level data on WRDS, replication code, and documentation


Responsible Investing: The ESG-Efficient Frontier, Lasse Heje Pedersen, Shaun Fitzgibbons, and Lukasz Pomorski (2021), Journal of Financial Economics 142 (2), 572-597

E, S, G, and ESG portfolios and long-short factors 


Value and Momentum Everywhere, Cliff Asness, Tobias Moskowitz, and Lasse Heje Pedersen (2013), The Journal of Finance 68(3), 929-985.

Original VME factors 

48 original value and momentum sorted portfolios across markets and asset classes


Updated VME factors and portfolios


Time Series Momentum, Tobias Moskowitz, Yao Hua Ooi, and Lasse Heje Pedersen (2012), Journal of Financial Economics 104(2), 228-250. Lead paper 

TSMOM factors

Updated TSMOM factors


Betting Against Beta, Andrea Frazzini and Lasse Heje Pedersen (2014), Journal of Financial Economics 111(1), 1-25. 

Original BAB factors

Updated BAB factors


Quality Minus Junk, Cliff Asness, Andrea Frazzini, and Lasse Heje Pedersen (2012).

Original and updated QMJ factors


Carry,  Ralph Koijen, Tobias Moskowitz, Lasse H. Pedersen, and Evert Vrugt (2018), Journal of Financial Economics, 127 (2), 197-225. Lead paper

CARRY factors: original and updated, from Ralph Koijen's data page


Other Data


Margin-Based Asset Pricing and Deviations from the Law of One Price, Nicolae Garleanu and Lasse Heje Pedersen (2011), The Review of Financial Studies 24(6), 1980- 2022.

Deviations from the Law of One Price


Measuring Systemic Risk, Viral Acharya, Lasse Heje Pedersen, Thomas Philippon, and Matt Richardson (2017).

Real Time Systemic Risk Rankings