GLOBAL RISK FACTORS

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

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


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


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


Carry, Ralph Koijen, Tobias Moskowitz, Lasse H. Pedersen, and Evert Vrugt (2012).


More data available at the AQR data library
   

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.


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