Lasse H. Pedersen - Selected publications#

1. “Dynamic Trading with Predictable Returns and Transaction Costs,” (with Nicolae Garleanu)
The Journal of Finance, 2012, forthcoming.

2. “Value and Momentum Everywhere,” (with Cliff Asness and Tobias Moskowitz).
The Journal of Finance, 2012, forthcoming.
Featured in New York Times and Marketwatch.

3. “Monitoring Leverage,” 2011 (with John Geanakoplos)
Forthcoming in Systemic Risk and Macro Modeling, NBER, ed. by Brunnermeier and Krishnamurthy.

4. “Time Series Momentum,” (with Tobias Moskowitz and Yao Hua Ooi)
Journal of Financial Economics, 2012, 104(2), 228-250 (lead paper).

5. “Leverage Aversion and Risk Parity,” (with Cliff Asness and Andrea Frazzini)
Financial Analysts Journal, 2012, 68(1), 47-59.

6. “Margin-Based Asset Pricing and Deviations from the Law of One Price,” (with N.Garleanu)
The Review of Financial Studies, 2011, vol. 24, no. 6, 1980-2022.
Michael Brennan Award Winner for the best paper in the Review of Financial Studies

7. “Two Monetary Tools: Interest-Rates and Haircuts,” (with Adam Ashcraft and N. Garleanu)
NBER Macroeconomics Annual, 2010, vol. 25, 143-180.

8. “How Sovereign is Sovereign Credit Risk?” (with F. Longstaff, J. Pan, and K. Singleton)
American Economic Journal: Macroeconomics, 2011, vol. 3, 75-103.
Featured in Economic Times.

9. “When Everyone Runs for the Exit,”
The International Journal of Central Banking, 2009, vol. 5, 177-199. (Solicited commentary.)
Featured in The Economist, New York Times, and Forbes.

10. “Market Liquidity and Funding Liquidity” (with Markus Brunnermeier).
The Review of Financial Studies, 2009, vol. 22, 2201-2238.
Featured in The Economist and Barron’s.

11. “Demand-Based Option Pricing” (with Nicolae Garleanu and Allen Poteshman).
The Review of Financial Studies, 2009, vol. 22, 4259-4299.
Geewax, Terker & Company First Prize, 2006.

12. “Carry Trades and Currency Crashes” (with Markus Brunnermeier and Stefan Nagel)
NBER Macroeconomics Annual, 2008, vol. 23, 313-348.
Featured in Forbes.

13. “Slow Moving Capital” (with Mark Mitchell and Todd Pulvino)
American Economic Review, 2007, vol. 97, no. 2, 215-220.

14. “Liquidity and Risk Management” (with Nicolae Garleanu)
American Economic Review, 2007, vol. 97, no. 2, 193-197.

15. “Valuation in Over-the-Counter Markets” (with Darrell Duffie and Nicolae Garleanu).
The Review of Financial Studies, 2007, vol. 20, no. 5, 1865-1900.

16. “Liquidity and Asset Prices” (with Yakov Amihud and Haim Mendelson)
Foundations and Trends in Finance, 2005, vol.1, no. 4, 269-364.

17. “Asset Pricing with Liquidity Risk” (with Viral Acharya)
Journal of Financial Economics, 2005, vol. 77, 375-410.
Fama/DFA First Prize for best paper on capital markets and asset pricing in the JFE 2005
NYSE Award for the best paper on equity trading, Western Finance Association 2003.
Glucksman First-Place Award for best research paper in finance, NYU 2002-2003.

18. “Predatory Trading” (with Markus Brunnermeier)
The Journal of Finance, 2005, vol. 60, no. 4, 1825-1863.
Nominated for the Smith-Breeden Prize for the best paper in the Journal of Finance.
Barclays Global Investors Award for best paper at the European Finance Association, 2003.

19. “Over-the-Counter Markets” (with Darrell Duffie and Nicolae Garleanu)
Econometrica, 2005, vol. 73(6), 1815-1847.
Referenced by Nobel Prize Committee’s Scientific Background, 2010.

20. “Adverse Selection and the Required Return” (with Nicolae Garleanu)
The Review of Financial Studies, 2004, vol. 17, no. 3, 643-665.

21. “Modeling Sovereign Yield Spreads: A Case Study of Russian Debt” (with Duffie and Singleton)
The Journal of Finance, 2003, vol. 58, no. 1, 119-159.
Nominated for the Smith-Breeden Prize for the best paper in the Journal of Finance.

22. “Securities Lending, Shorting, and Pricing” (with Darrell Duffie and Nicolae Garleanu)
Journal of Financial Economics, 2002, vol. 66, 307-339.
NYSE Award for the best paper on equity trading, Western Finance Association 2002.

23. Book: “Market Liquidity: Asset Pricing, Risk, and Crises” (with Yakov Amihud and Haim Mendelson)
Cambridge University Press, 2012.