Lasse Heje Pedersen : Citation Profile


Are you Lasse Heje Pedersen?

New York University (NYU)
National Bureau of Economic Research (NBER)
Centre for Economic Policy Research (CEPR)

21

H index

23

i10 index

4198

Citations

RESEARCH PRODUCTION:

21

Articles

42

Papers

3

Books

6

Chapters

RESEARCH ACTIVITY:

   14 years (2002 - 2016). See details.
   Cites by year: 299
   Journals where Lasse Heje Pedersen has often published
   Relations with other researchers
   Recent citing documents: 467.    Total self citations: 29 (0.69 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppe174
   Updated: 2018-04-14    RAS profile: 2017-06-08    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Lasse Heje Pedersen.

Is cited by:

Vayanos, Dimitri (43)

Adrian, Tobias (34)

Sarno, Lucio (31)

Shin, Hyun Song (27)

KOSTAKIS, ALEXANDROS (21)

Ranaldo, Angelo (21)

Acharya, Viral (20)

Rocheteau, Guillaume (20)

Brunnermeier, Markus (20)

Longstaff, Francis (20)

Schrimpf, Andreas (19)

Cites to:

Shleifer, Andrei (13)

Summers, Lawrence (9)

Vayanos, Dimitri (9)

Acharya, Viral (8)

Fama, Eugene (8)

Lo, Andrew (8)

Constantinides, George (7)

Grossman, Sanford (6)

French, Kenneth (6)

Wurgler, Jeffrey (6)

Stambaugh, Robert (6)

Main data


Where Lasse Heje Pedersen has published?


Journals with more than one article published# docs
Review of Financial Studies5
Journal of Financial Economics5
Journal of Finance4
American Economic Review2

Working Papers Series with more than one paper published# docs
Econometric Society 2004 North American Winter Meetings / Econometric Society2

Recent works citing Lasse Heje Pedersen (2018 and 2017)


YearTitle of citing document
2017Working Paper 273 - Stock (Mis)pricing and investment dynamics in Africa. (2017). Saidi, Atanda Mustapha . In: Working Paper Series. RePEc:adb:adbwps:2390.

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2017The Costs of Sovereign Default: Evidence from Argentina. (2017). Hebert, Benjamin ; Schreger, Jesse. In: American Economic Review. RePEc:aea:aecrev:v:107:y:2017:i:10:p:3119-45.

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2017Decentralized Exchange. (2017). Malamud, Semyon ; Rostek, Marzena. In: American Economic Review. RePEc:aea:aecrev:v:107:y:2017:i:11:p:3320-62.

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2017The Great Escape? A Quantitative Evaluation of the Feds Liquidity Facilities. (2017). Ferrero, Andrea ; Eggertsson, Gauti ; Del Negro, Marco ; Kiyotaki, Nobuhiro. In: American Economic Review. RePEc:aea:aecrev:v:107:y:2017:i:3:p:824-57.

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2017A market impact game under transient price impact. (2017). Schied, Alexander ; Zhang, Tao. In: Papers. RePEc:arx:papers:1305.4013.

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2017Rebalancing with Linear and Quadratic Costs. (2017). Muhle-Karbe, Johannes ; Liu, Ren ; Weber, Marko . In: Papers. RePEc:arx:papers:1402.5306.

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2017The Limits of Leverage. (2017). Guasoni, Paolo ; Mayerhofer, Eberhard . In: Papers. RePEc:arx:papers:1506.02802.

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2017Liquidity Effects of Trading Frequency. (2017). Gayduk, Roman ; Nadtochiy, Sergey. In: Papers. RePEc:arx:papers:1508.07914.

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2017Optimal Rebalancing Frequencies for Multidimensional Portfolios. (2017). Ekren, Ibrahim ; Muhle-Karbe, Johannes ; Liu, Ren . In: Papers. RePEc:arx:papers:1510.05097.

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2017Equilibrium pricing under relative performance concerns. (2017). Bielagk, Jana ; Reis, Goncalo Dos ; Lionnet, Arnaud . In: Papers. RePEc:arx:papers:1511.04218.

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2017Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070.

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2017Are Order Anticipation Strategies Harmful? A Theoretical Approach. (2017). Strehle, Elias . In: Papers. RePEc:arx:papers:1609.00599.

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2017Dynamic Portfolio Optimization with Liquidity Cost and Market Impact: A Simulation-and-Regression Approach. (2017). Zhang, Rongju ; Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas . In: Papers. RePEc:arx:papers:1610.07694.

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2017A Primer on Portfolio Choice with Small Transaction Costs. (2017). Muhle-Karbe, Johannes ; Soner, Mete H ; Reppen, Max . In: Papers. RePEc:arx:papers:1612.01302.

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2017A diagnostic criterion for approximate factor structure. (2017). Scaillet, Olivier ; Gagliardini, Patrick ; Ossola, Elisa . In: Papers. RePEc:arx:papers:1612.04990.

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2017Time series momentum and contrarian effects in the Chinese stock market. (2017). Zhou, Wei-Xing ; Shi, Huai-Long . In: Papers. RePEc:arx:papers:1702.07374.

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2017Optimal excess-of-loss reinsurance and investment problem for an insurer with default risk under a stochastic volatility model. (2017). Yao, Nian ; Yang, Zhiming . In: Papers. RePEc:arx:papers:1704.08234.

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2018Portfolio Choice with Small Temporary and Transient Price Impact. (2018). Ekren, Ibrahim ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1705.00672.

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2017Mini-Flash Crashes, Model Risk, and Optimal Execution. (2017). Bayraktar, Erhan ; Munk, Alexander . In: Papers. RePEc:arx:papers:1705.09827.

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2017Heterogeneous Preferences, Constraints, and the Cyclicality of Leverage. (2017). Abbot, Tyler . In: Papers. RePEc:arx:papers:1706.05877.

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2017Effective risk aversion in thin risk-sharing markets. (2017). Anthropelos, Michail ; Vichos, Georgios ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:1707.05096.

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2017Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets. (2017). , . In: Papers. RePEc:arx:papers:1707.05552.

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2017Equilibrium Liquidity Premia. (2017). Bouchard, Bruno ; Muhle-Karbe, Johannes ; Herdegen, Martin ; Fukasawa, Masaaki. In: Papers. RePEc:arx:papers:1707.08464.

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2017The Size Premium in Equity Markets: Where is the Risk?. (2017). Ciliberti, Stefano ; Bouchaud, Jean-Philippe ; Lemp, Yves ; Simon, Guillaume ; Emmanuel, . In: Papers. RePEc:arx:papers:1708.00644.

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2017Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2017). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296.

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2017Black was right: Price is within a factor 2 of Value. (2017). Bouchaud, J P ; Ronia, Sin K ; Seager, P ; Majewski, A ; Lemp, Y ; Ciliberti, S. In: Papers. RePEc:arx:papers:1711.04717.

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2018An SPDE Model for Systemic Risk with Endogenous Contagion. (2018). Hambly, Ben ; Sojmark, Andreas. In: Papers. RePEc:arx:papers:1801.10088.

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2018Quantification of systemic risk from overlapping portfolios in the financial system. (2018). Poledna, Sebastian ; Thurner, Stefan ; Caccioli, Fabio ; Mart, Seraf'In. In: Papers. RePEc:arx:papers:1802.00311.

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2017The Interest Rate Sensitivity of Value and Growth Stocks - Evidence from Listed Real Estate. (2017). Christian, Weis ; Sebastian, Steffen ; Woltering, Rene-Ojas. In: ERES. RePEc:arz:wpaper:eres2017_325.

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2017Momentum Decomposition: Evidence from Emerging Markets. (2017). Wei, Xianhua ; Guo, Hongbo . In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:123-132.

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2017Financial frictions and robust monetary policy in the models of New Keynesian framework. (2017). Pirozhkova, Ekaterina. In: BCAM Working Papers. RePEc:bbk:bbkcam:1701.

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2018Government of Canada Securities in the Cash, Repo and Securities Lending Markets. (2018). Bulusu, Narayan ; Gungor, Sermin . In: Discussion Papers. RePEc:bca:bocadp:18-4.

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2017Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns. (2017). Ravazzolo, Francesco ; Foroni, Claudia ; Sadaba, Barbara . In: Staff Working Papers. RePEc:bca:bocawp:17-19.

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2018What Drives Interbank Loans? Evidence from Canada. (2018). Guérin, Pierre ; Bulusu, Narayan ; Guerin, Pierre . In: Staff Working Papers. RePEc:bca:bocawp:18-5.

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2017The double bind of asymmetric information in over-the-counter markets. (2017). Palazzo, Francesco ; Mäkinen, Taneli ; Makinen, Taneli . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1128_17.

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2017A quantitative analysis of risk premia in the corporate bond market. (2017). Cecchetti, Sara . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1141_17.

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2017Pairwise trading in the money market during the European sovereign debt crisis. (2017). Rainone, Edoardo . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1160_17.

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2017Sovereign default risk in OECD countries: do global factors matter?. (2017). Ordoñez-Callamand, Daniel ; Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Ordoez-Callamand, Daniel . In: Borradores de Economia. RePEc:bdr:borrec:996.

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2017Role of Liquidity in Explaining Anomalous Returns: Evidence from Emerging Market. (2017). Sadaqat, Mohsin ; Butt, Hilal Anwar. In: Business & Economic Review. RePEc:bec:imsber:v:9:y:2017:i:3:p:1-35.

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2017Pandemic crises in financial systems: a simulation-model to complement stress-testing frameworks.. (2017). Idier, J ; Piquard, T. In: Working papers. RePEc:bfr:banfra:621.

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2018A General Equilibrium Appraisal of Capital Shortfall. (2018). Jondeau, E ; J-G. Sahuc, . In: Working papers. RePEc:bfr:banfra:668.

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2017How to reach all Basel requirements at the same time?. (2017). Dietsch, Michel ; Durant, D ; Birn, M. In: Débats économiques et financiers. RePEc:bfr:decfin:28.

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2017Safety, Liquidity, and the Natural Rate of Interest. (2017). Giannone, Domenico ; Del Negro, Marco ; Tambalotti, Andrea ; Giannoni, Marc P. In: Brookings Papers on Economic Activity. RePEc:bin:bpeajo:v:48:y:2017:i:2017-01:p:235-316.

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2017Green bond finance and certification. (2017). Packer, Frank ; Ehlers, Torsten. In: BIS Quarterly Review. RePEc:bis:bisqtr:1709h.

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2017The beneficial aspect of FX volatility for market liquidity. (2017). SHIM, ILHYOCK ; Koosakul, Jakree . In: BIS Working Papers. RePEc:bis:biswps:629.

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2017The discontinuation of the EUR/CHF minimum exchange rate in January 2015: was it expected?. (2017). Moessner, Richhild ; Funke, Michael ; Loermann, Julius . In: BIS Working Papers. RePEc:bis:biswps:652.

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2017Syndicated loans and CDS positioning. (2017). Barth, Andreas ; Aldasoro, Iñaki. In: BIS Working Papers. RePEc:bis:biswps:679.

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2018Are credit rating agencies discredited? Measuring market price effects from agency sovereign debt announcements. (2018). Binici, Mahir ; Miao, Evan Weicheng ; Hutchison, Michael M. In: BIS Working Papers. RePEc:bis:biswps:704.

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2017Unexpected Inflation, Capital Structure, and Real Risk-adjusted Firm Performance. (2017). Alcock, Jamie ; Steiner, Eva. In: Abacus. RePEc:bla:abacus:v:53:y:2017:i:2:p:273-298.

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2017The US Dollars Continuing Hegemony as an International Currency: A Double-matrix Analysis. (2017). Kaltenbrunner, Annina ; Lysandrou, Photis. In: Development and Change. RePEc:bla:devchg:v:48:y:2017:i:4:p:663-691.

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2017LIQUIDITY RISK AND TIME-VARYING CORRELATION BETWEEN EQUITY AND CURRENCY RETURNS. (2017). Mo, Kuk . In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:2:p:898-919.

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2017The Plight of Modern Markets: How Universal Banking Undermines Capital Markets. (2017). Sissoko, Carolyn. In: Economic Notes. RePEc:bla:ecnote:v:46:y:2017:i:1:p:53-104.

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2017Time-Varying Linkage of Possible Safe Haven Assets: A Cross-Market and Cross-asset Analysis. (2017). Nguyen, Phong ; Liu, Wei-Han. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:1:p:43-76.

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2017EXPLOITING CLOSED-END FUND DISCOUNTS: A SYSTEMATIC EXAMINATION OF ALPHAS. (2017). Patro, Dilip ; Wu, Yangru ; Piccotti, Louis R. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:2:p:223-248.

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2017Distressed Sales in OTC Markets. (2017). Selcuk, Cemil. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:3:p:357-393.

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2017How Has the Behavior of Cross-Market Correlations Altered During Financial and Debt Crises?. (2017). demiralay, sercan ; Ulusoy, Veysel. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:6:p:765-794.

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2017Carry Trade Incentives and Turbulence in the Foreign Exchange Market in Colombia. (2017). Gamboa-Estrada, Fredy. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i::p:57-78.

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2017Do Shadow Banks Create Money? ‘Financialisation’ and the Monetary Circuit. (2017). Fontana, Giuseppe ; Michell, JO ; Realfonzo, Riccardo. In: Metroeconomica. RePEc:bla:metroe:v:68:y:2017:i:2:p:354-377.

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2017Uncovered interest parity in Central and Eastern Europe: Expectations and structural breaks. (2017). Staehr, Karsten ; Filipozzi, Fabio ; Cuestas, Juan. In: Review of International Economics. RePEc:bla:reviec:v:25:y:2017:i:4:p:695-710.

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2017External Public Debt, Trade Linkages and Contagion During the Eurozone Crisis. (2017). Cutrini, Eleonora ; Galeazzi, Giorgio . In: The World Economy. RePEc:bla:worlde:v:40:y:2017:i:9:p:1718-1749.

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2017The Future of Money: Liquidity co-movement between financial institutions and real estate firms: evidence from China. (2017). Huang, Sheng ; Xie, RU ; Williams, Jonathan. In: Working Papers. RePEc:bng:wpaper:17004.

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2017Multi yield curve stress-testing framework incorporating temporal and cross tenor structural dependencies. (2017). Karimalis, Emmanouil ; Peters, Gareth ; Kosmidis, Ioannis . In: Bank of England working papers. RePEc:boe:boeewp:0655.

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2017Measuring the systemic importance of banks. (2017). Moratis, Georgios ; Sakellaris, Plutarchos. In: Working Papers. RePEc:bog:wpaper:240.

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2017Sovereign default risk and debt limits: Case of Slovakia. (2017). Odor, Ludovit ; Mucka, Zuzana . In: Working Papers. RePEc:cbe:wpaper:201701.

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2017What Drives Systemic Bank Risk in Europe: the balance sheet effect. (2017). Wosser, Michael . In: Research Technical Papers. RePEc:cbi:wpaper:08/rt/17.

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2018Positive Liquidity Spillovers from Sovereign Bond-Backed Securities. (2018). Dunne, Peter G. In: Research Technical Papers. RePEc:cbi:wpaper:5/rt/18.

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2017Investor Sentiment Dynamics, the Cross-section of Stock Returns and the MAX Effect. (2017). Nartea, Gilbert ; Cheema, Muhammad. In: Working Papers in Economics. RePEc:cbt:econwp:17/13.

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2017Cross-Sectional and Time-Series Momentum Returns and Market Dynamics: Are Islamic Stocks Different?. (2017). Nartea, Gilbert ; Cheema, Muhammad. In: Working Papers in Economics. RePEc:cbt:econwp:17/14.

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2017What Slice of the Pie? The Corporate Bond Market Boom in Emerging Economies. (2017). Saborowski, Christian ; Nedeljkovic, Milan ; Ayala, Diana . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6376.

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2017Dissecting Characteristics Nonparametrically. (2017). Weber, Michael ; Freyberger, Joachim ; Neuhierl, Andreas . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6391.

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2017A Theory of Repurchase Agreements, Collateral Re-use, and Repo Intermediation. (2017). Monnet, Cyril ; Gottardi, Piero ; Maurin, Vincent . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6579.

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2017Monetary Momentum. (2017). Weber, Michael ; Neuhierl, Andreas . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6648.

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2017Dispersed Information and Sovereign Risk Premia. (2017). Margaretic, Paula ; Becerra, Sebastian. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:808.

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2017Disentangling the relationship between liquidity and returns in Latin America. (2017). Taborda, Rodrigo ; French, Joseph. In: DOCUMENTOS CEDE. RePEc:col:000089:015606.

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2017Corporate Bond Guarantees and The Value of Financial Flexibility. (2017). Manconi, Alberto ; Altieri, Michela ; Massa, Massimo . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11992.

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2017Canary in a Coalmine: Securities Lending Predicting the Performance of Securitized Bonds. (2017). Manconi, Alberto ; Kempf, Elisabeth ; Massa, Massimo . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11993.

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2017Asset encumbrance and bank risk: First evidence from public disclosures in Europe. (2017). Banal-Estanol, Albert ; Khametshin, Dmitry ; Benito, Enrique. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12168.

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2017Dissecting interbank risk. (2017). Aguilar, Pedro Serrano ; Lafuente, Juan Angel ; Petit, Nuria . In: DEE - Working Papers. Business Economics. WB. RePEc:cte:wbrepe:24553.

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2018Nonlinear Intermediary Pricing in the Oil Futures Market. (2018). Bierbaumer, Daniel ; Velinov, Anton ; Rieth, Malte. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1722.

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2017Pension funds illiquid assets allocation under liquidity and capital constraints. (2017). Broeders, Dirk ; Werker, Bas ; Jansen, Kristy . In: DNB Working Papers. RePEc:dnb:dnbwpp:555.

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2018Mortgage debt and shadow banks. (2018). Pool, Sebastiaan. In: DNB Working Papers. RePEc:dnb:dnbwpp:588.

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2017Taking Diversity into Account: the Diversity of Financial Institutions and Accounting Regulation. (2017). Le Quang, Gaëtan. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-10.

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2018Stock market integration in the Asia-Pacific region: Evidence from cointegration of liquidity risk. (2018). Soedarmono, Wahyoe. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00810.

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2017Collateral, central clearing counterparties and regulation. (2017). Heider, Florian. In: Research Bulletin. RePEc:ecb:ecbrbu:2017:0041:1.

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2017Spillovers among sovereign debt markets: identification by absolute magnitude restrictions. (2017). De Santis, Roberto A ; Zimic, Sreko . In: Working Paper Series. RePEc:ecb:ecbwps:20172055.

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2017On collateral: implications for financial stability and monetary policy. (2017). Hoerova, Marie ; Heider, Florian ; Corradin, Stefano . In: Working Paper Series. RePEc:ecb:ecbwps:20172107.

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2017Japan’s quantitative monetary easing policy: Effect on the level and volatility of yield spreads. (2017). Hanabusa, Kunihiro. In: Journal of Asian Economics. RePEc:eee:asieco:v:53:y:2017:i:c:p:56-66.

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2017Options, equity risks, and the value of capital structure adjustments. (2017). Borochin, Paul ; Yang, Jie. In: Journal of Corporate Finance. RePEc:eee:corfin:v:42:y:2017:i:c:p:150-178.

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2017Do tax havens create firm value?. (2017). Ng, Travis ; Lai, Tat-kei ; Choy, Siu Kai . In: Journal of Corporate Finance. RePEc:eee:corfin:v:42:y:2017:i:c:p:198-220.

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2017Limelight on dark markets: Theory and experimental evidence on liquidity and information. (2017). Berentsen, Aleksander ; McBride, Michael ; Rocheteau, Guillaume. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:75:y:2017:i:c:p:70-90.

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2017Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:180-201.

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2017Basel III capital surcharges for G-SIBs are far less effective in managing systemic risk in comparison to network-based, systemic risk-dependent financial transaction taxes. (2017). Poledna, Sebastian ; Thurner, Stefan ; Bochmann, Olaf . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:230-246.

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2017On the optimal quantity of liquid bonds. (2017). Huber, Samuel ; Kim, Jae Hong. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:79:y:2017:i:c:p:184-200.

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2017A unified approach to Bermudan and barrier options under stochastic volatility models with jumps. (2017). Kirkby, Lars J ; Cui, Zhenyu ; Nguyen, Duy . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:75-100.

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2017Impact of value-at-risk models on market stability. (2017). Llacay, Barbara ; Peffer, Gilbert. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:223-256.

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2018Level and slope of volatility smiles in long-run risk models. (2018). Branger, Nicole ; Schlag, Christian ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:95-122.

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2017Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models. (2017). Xue, Wen-Jun ; Zhang, Li-Wen . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:391-401.

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2017Modelling European sovereign bond yields with international portfolio effects. (2017). Martin, Franck ; Zhang, Jiangxingyun . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:178-200.

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2017Regional spillovers across transitioning emerging and frontier equity markets: A multi-time scale wavelet analysis. (2017). Masih, Abul ; Dewandaru, Ginanjar . In: Economic Modelling. RePEc:eee:ecmode:v:65:y:2017:i:c:p:30-40.

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2017The cross section of international government bond returns. (2017). Zaremba, Adam ; Czapkiewicz, Anna. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:171-183.

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2017Lending conditions in EU: The role of credit demand and supply. (2017). Kučerová, Zuzana ; Kapounek, Svatopluk ; Fidrmuc, Jarko ; Kuerova, Zuzana. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:285-293.

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More than 100 citations found, this list is not complete...

Works by Lasse Heje Pedersen:


YearTitleTypeCited
2007Liquidity and Risk Management In: American Economic Review.
[Full Text][Citation analysis]
article33
2007Liquidity and Risk Management.(2007) In: NBER Working Papers.
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This paper has another version. Agregated cites: 33
paper
2007Slow Moving Capital In: American Economic Review.
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article80
2007Slow Moving Capital.(2007) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 80
paper
2007Slow Moving Capital.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
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paper
2011How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]
article277
2007How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
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paper
2003Modeling Sovereign Yield Spreads: A Case Study of Russian Debt In: Journal of Finance.
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article126
2005Predatory Trading In: Journal of Finance.
[Full Text][Citation analysis]
article138
2004Predatory Trading.(2004) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
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paper
2004Predatory Trading.(2004) In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]
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paper
2004Predatory Trading.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
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paper
2013Value and Momentum Everywhere In: Journal of Finance.
[Full Text][Citation analysis]
article213
2013Dynamic Trading with Predictable Returns and Transaction Costs In: Journal of Finance.
[Full Text][Citation analysis]
article42
2009Dynamic Trading with Predictable Returns and Transaction Costs.(2009) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 42
paper
2009Dynamic Trading with Predictable Returns and Transaction Costs.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
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paper
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[Full Text][Citation analysis]
paper119
2014Betting against beta.(2014) In: Journal of Financial Economics.
[Full Text][Citation analysis]
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article
2010Betting Against Beta.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
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2015Early Option Exercise: Never Say Never In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper3
2016Early option exercise: Never say never.(2016) In: Journal of Financial Economics.
[Full Text][Citation analysis]
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2003Asset Pricing with Liquidity Risk In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper618
2004Asset Pricing with Liquidity Risk.(2004) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
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2005Asset pricing with liquidity risk.(2005) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 618
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2004Asset Pricing with Liquidity Risk.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
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paper
2005Demand-Based Option Pricing In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper122
2005Demand-Based Option Pricing.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
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paper
2009Demand-Based Option Pricing.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
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2006Valuation in Over-the-Counter Markets In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper99
2006Valuation in Over-the-Counter Markets.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
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paper
2007Valuation in Over-the-Counter Markets.(2007) In: Review of Financial Studies.
[Full Text][Citation analysis]
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2007Market Liquidity and Funding Liquidity In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper1078
2007Market liquidity and funding liquidity.(2007) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
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paper
2007Market Liquidity and Funding Liquidity.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1078
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2009Market Liquidity and Funding Liquidity.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1078
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2009When Everyone Runs for the Exit In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper21
2009When Everyone Runs for the Exit.(2009) In: International Journal of Central Banking.
[Full Text][Citation analysis]
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article
2009When Everyone Runs for the Exit.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
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2010Two Monetary Tools: Interest Rates and Haircuts In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper36
2011Two Monetary Tools: Interest Rates and Haircuts.(2011) In: NBER Chapters.
[Full Text][Citation analysis]
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chapter
2010Two Monetary Tools: Interest Rates and Haircuts.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
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2010Two Monetary Tools: Interest-Rates and Haircuts.(2010) In: 2010 Meeting Papers.
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2012Measuring Systemic Risk In: CEPR Discussion Papers.
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paper234
2010Measuring systemic risk.(2010) In: Working Paper.
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2013Buffett’s Alpha In: CEPR Discussion Papers.
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paper1
2013Buffetts Alpha.(2013) In: NBER Working Papers.
[Full Text][Citation analysis]
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2013Carry In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper0
2013Carry.(2013) In: NBER Working Papers.
[Full Text][Citation analysis]
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2013Market Liquidity In: Cambridge Books.
[Citation analysis]
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2013Market Liquidity.(2013) In: Cambridge Books.
[Citation analysis]
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book
2011Monitoring Leverage In: Cowles Foundation Discussion Papers.
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paper0
2012Monitoring Leverage.(2012) In: NBER Chapters.
[Full Text][Citation analysis]
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chapter
2005Over-the-Counter Markets In: Econometrica.
[Full Text][Citation analysis]
article207
2004Over-the-Counter Markets.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
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2004Valuation in Dynamic Bargaining Markets In: Econometric Society 2004 North American Winter Meetings.
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paper5
2016Dynamic portfolio choice with frictions In: Journal of Economic Theory.
[Full Text][Citation analysis]
article3
2012Time series momentum In: Journal of Financial Economics.
[Full Text][Citation analysis]
article113
2002Securities lending, shorting, and pricing In: Journal of Financial Economics.
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article138
2012How to Calculate Systemic Risk Surcharges In: NBER Chapters.
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chapter0
2009Carry Trades and Currency Crashes In: NBER Chapters.
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chapter282
2008Carry Trades and Currency Crashes.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
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2011Margin-Based Asset Pricing and Deviations from the Law of One Price In: NBER Working Papers.
[Full Text][Citation analysis]
paper96
2011Margin-based Asset Pricing and Deviations from the Law of One Price.(2011) In: Review of Financial Studies.
[Full Text][Citation analysis]
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2012Embedded Leverage In: NBER Working Papers.
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2015Efficiently Inefficient Markets for Assets and Asset Management In: NBER Working Papers.
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paper10
2006Liquidity and Asset Prices In: Foundations and Trends(R) in Finance.
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article78
2005Liquidity and Asset Prices.(2005) In: MPRA Paper.
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2004Adverse Selection and the Required Return In: Review of Financial Studies.
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article17
2015Introduction In: Introductory Chapters.
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2015Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined In: Economics Books.
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book3
2016Generalized Recovery In: 2016 Meeting Papers.
[Full Text][Citation analysis]
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2013TAXING SYSTEMIC RISK In: World Scientific Book Chapters.
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chapter0

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