Data
Global Factors
Is There a Replication Crisis in Finance? Theis Ingerslev Jensen, Bryan Kelly, and Lasse Heje Pedersen
Updated global factor returns available using an easy drop-down menu
The underlying stock returns and characteristics, replication code, documentation, and more
Responsible Investing: The ESG-Efficient Frontier, Lasse Heje Pedersen, Shaun Fitzgibbons, and Lukasz Pomorski.
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.
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
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).
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).