I am a financial economist who loves to solve real-world problems using models and data.
A Stanford PhD, I am a finance professor at Copenhagen Business School and a principal at AQR. I have 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, on the Economic Advisory Boards of NASDAQ and FTSE, and on several editorial boards, including the Journal of Finance and Quarterly Journal of Economics.
My academic awards include the Bernácer Prize to the best E.U. economist under 40 years of age, the Banque de France-TSE Prize, the Stephen A. Ross Prize, Fama-DFA Prizes, the Michael Brennan Award, the Brattle Prize, and Graham and Dodd Top Awards.
9/2023. Posted new paper on Corporate Bond Factors: Replication Failures and a New Framework
1/2023. I am the Director of the new Center for Big Data in Finance (BIGFI)
11/2021. New version of How to Succeed in Academia or Have Fun Trying
3/2021. Game On paper featured in Risk
2/2021. New model that helps explain GameStop and markets generally: Game On: Social Networks and Markets
My research focuses on liquidity risk, asset prices, and investment management. 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, and the why markets are efficiently inefficient.
My research also explores the other factors that drive asset prices across markets and asset classes: betting against beta, quality minus junk, carry, size, value, momentum, time series momentum, and ESG. These factors help explain the returns of hedge funds, Warren Buffett, and global markets.
Finally, I study the economics of capital markets and investment management, including sharpening he arithmetic of active management, and how to measure risk, use return signals, make optimization work, and trade optimally accounting for transaction costs.
In addition to being a professor, I am affiliated with AQR Capital Management, 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 and should not be considered investment advice. See my vita for further details on past and current positions.
Nov-19 Short movie about Buffett's Alpha made by Financial Analysts Journal
Jan-18 Journal of Finance awards the Brattle Distinguished Paper Prize to Efficiently Inefficient Markets for Assets and Asset Management
Dec-18 Efficiently Inefficient is coming out in Japanese - get it here
Dec-18 On the 2018 list of highly cited researchers
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)
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
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
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
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
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.
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
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 Appointed to the NASDAQ OMX Economic Advisory Board
Copenhagen Business School