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)

20

H index

22

i10 index

3786

Citations

RESEARCH PRODUCTION:

21

Articles

42

Papers

3

Books

6

Chapters

RESEARCH ACTIVITY:

   14 years (2002 - 2016). See details.
   Cites by year: 270
   Journals where Lasse Heje Pedersen has often published
   Relations with other researchers
   Recent citing documents: 612.    Total self citations: 29 (0.76 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppe174
   Updated: 2017-09-16    RAS profile: 2017-06-08    
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Relations with other researchers

Works with:

Frazzini, Andrea (2)

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 (33)

Sarno, Lucio (31)

Shin, Hyun Song (27)

Ranaldo, Angelo (21)

KOSTAKIS, ALEXANDROS (21)

Acharya, Viral (20)

Rocheteau, Guillaume (20)

Brunnermeier, Markus (20)

Longstaff, Francis (20)

Fecht, Falko (19)

Cites to:

Shleifer, Andrei (13)

Summers, Lawrence (9)

Vayanos, Dimitri (9)

Lo, Andrew (8)

Acharya, Viral (8)

Fama, Eugene (8)

Stambaugh, Robert (6)

Grossman, Sanford (6)

Wurgler, Jeffrey (6)

Campbell, John (6)

Constantinides, George (6)

Main data

Where Lasse Heje Pedersen has published?

Journals with more than one article published# docs
Journal of Financial Economics5
Review of Financial Studies5
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 (2017 and 2016)

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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2016Leverage and Beliefs: Personal Experience and Risk-Taking in Margin Lending. (2016). Koudijs, Peter ; Voth, Hans-Joachim . In: American Economic Review. RePEc:aea:aecrev:v:106:y:2016:i:11:p:3367-3400.

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2016Too-Systemic-to-Fail: What Option Markets Imply about Sector-Wide Government Guarantees. (2016). Van Nieuwerburgh, Stijn ; Kelly, Bryan ; Lustig, Hanno . In: American Economic Review. RePEc:aea:aecrev:v:106:y:2016:i:6:p:1278-1319.

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2016CoVaR. (2016). Brunnermeier, Markus ; Adrian, Tobias. In: American Economic Review. RePEc:aea:aecrev:v:106:y:2016:i:7:p:1705-41.

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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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2016Complexity and Economic Policy: A Paradigm Shift or a Change in Perspective? A Review Essay on David Colander and Roland Kuperss Complexity and the Art of Public Policy. (2016). Kirman, Alan. In: Journal of Economic Literature. RePEc:aea:jeclit:v:54:y:2016:i:2:p:534-72.

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2016Determinants of sovereign bond yields in emerging economies: Some panel inferences. (2016). Kamaiah, Bandi ; Goyari, Phanindra ; Naidu, Sri Hari . In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(608):y:2016:i:3(608):p:101-118.

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2016Sovereign debt crisis. From challenges to solutions. (2016). Moisescu, Elena Raluca ; Giurescu, Andrei . In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiii:y:2016:i:1(606):p:195-202.

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2016Determinants of sovereign bond yields in emerging economies: Some panel inferences. (2016). Kamaiah, Bandi ; Goyari, Phanindra ; Naidu, Sri Hari . In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiii:y:2016:i:3(608):p:101-118.

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2016Informed Trading in Oil-Futures Market. (2016). Sévi, Benoît ; Rousse, Olivier . In: ESP: Energy Scenarios and Policy. RePEc:ags:feemes:249788.

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2016The formation of a core periphery structure in heterogeneous financial networks. (2016). van der Leij, Marco ; Hommes, Cars ; In, D. In: CeNDEF Working Papers. RePEc:ams:ndfwpp:16-07.

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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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2016A system of quadratic BSDEs arising in a price impact model. (2016). Kramkov, Dmitry ; Pulido, Sergio . In: Papers. RePEc:arx:papers:1408.0916.

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2016Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model. (2016). Kramkov, Dmitry ; Pulido, Sergio . In: Papers. RePEc:arx:papers:1410.6144.

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2016Existence and Uniqueness of a Steady State for an OTC Market with Several Assets. (2016). Belanger, Alain ; Ndoune, Ndoune ; Giroux, Gaston . In: Papers. RePEc:arx:papers:1411.7991.

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2016Switching-GAS Copula Models With Application to Systemic Risk. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1504.03733.

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2016The Limits of Leverage. (2016). Guasoni, Paolo ; Mayerhofer, Eberhard . In: Papers. RePEc:arx:papers:1506.02802.

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2016Heterotic Risk Models. (2016). Kakushadze, Zura . In: Papers. RePEc:arx:papers:1508.04883.

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2016Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer. (2016). Rosenberg, Gili ; L'Opez, Marcos ; Wu, Kesheng ; Carr, Peter ; Goddard, Phil ; Haghnegahdar, Poya . In: Papers. RePEc:arx:papers:1508.06182.

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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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2016Optimal Trading with Linear and (small) Non-Linear Costs. (2016). Rej, A ; de Lataillade, J ; Benichou, R. In: Papers. RePEc:arx:papers:1511.07359.

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2016Speculative Futures Trading under Mean Reversion. (2016). Leung, Tim ; Wang, Zheng ; Li, Xin . In: Papers. RePEc:arx:papers:1601.04210.

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2016Long Forward Probabilities, Recovery and the Term Structure of Bond Risk Premiums. (2016). Qin, Likuan ; Nie, Yutian ; Linetsky, Vadim . In: Papers. RePEc:arx:papers:1601.06477.

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2016Multifactor Risk Models and Heterotic CAPM. (2016). Yu, Willie ; Kakushadze, Zura . In: Papers. RePEc:arx:papers:1602.04902.

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

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2016Securities Lending Strategies, Exclusive Auction Bids. (2016). Kashyap, Ravi . In: Papers. RePEc:arx:papers:1603.00987.

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2016Regularities and Discrepancies of Credit Default Swaps: a Data Science approach through Benfords Law. (2016). Cerqueti, Roy ; Castellano, Rosella ; ausloos, marcel. In: Papers. RePEc:arx:papers:1603.01103.

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2016The Rank Effect for Commodities. (2016). Koch, Christoffer ; Fernholz, Ricardo. In: Papers. RePEc:arx:papers:1607.07510.

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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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2016Securities Lending Strategies, Valuation of Term Loans using Option Theory. (2016). Kashyap, Ravi . In: Papers. RePEc:arx:papers:1609.01274.

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2016The microstructural foundations of leverage effect and rough volatility. (2016). Euch, EL ; Mathieu, Rosenbaum ; Masaaki, Fukasawa . In: Papers. RePEc:arx:papers:1609.05177.

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2016Efficient Simulation Method for Dynamic Portfolio Selection with Transaction Cost, Liquidity Cost and Market Impact. (2016). Zhang, Rongju ; Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas . In: Papers. RePEc:arx:papers:1610.07694.

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2016LQG for portfolio optimization. (2016). Abeille, M ; Brokmann, X ; Lazaric, A ; Serie, E. In: Papers. RePEc:arx:papers:1611.00997.

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2016Time-varying return predictability in the Chinese stock market. (2016). Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Shi, Huai-Long . In: Papers. RePEc:arx:papers:1611.04090.

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2016How the interbank market becomes systemically dangerous: an agent-based network model of financial distress propagation. (2016). Serri, Matteo ; Cimini, Giulio ; Caldarelli, Guido . In: Papers. RePEc:arx:papers:1611.04311.

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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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2016Early exercise decision in American options with dividends, stochastic volatility and jumps. (2016). Scaillet, Olivier ; Galluccio, Stefano ; Cosma, Antonio ; Pederzoli, Paola . In: Papers. RePEc:arx:papers:1612.03031.

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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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2017Portfolio Choice with Small Temporary and Transient Price Impact. (2017). 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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2016Applying the stock evaluation models on the Bulgarian stock market. (2016). Donev, Doncho . In: Economic Thought journal. RePEc:bas:econth:y:2016:i:2:p:109-124.

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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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2016Credit Risk and Collateral Demand in a Retail Payment System. (2016). Saiz, Hector Perez ; Xerri, Gabriel . In: Discussion Papers. RePEc:bca:bocadp:16-16.

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2016Using Speed and Credit Limits to Address the Procyclicality of Initial Margin at Central Counterparties. (2016). Labelle, Nicholas ; Chande, Nikil. In: Discussion Papers. RePEc:bca:bocadp:16-18.

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2016Canadian Repo Market Ecology. (2016). Gray, Kyle ; Garriott, Corey . In: Discussion Papers. RePEc:bca:bocadp:16-8.

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2016Options Decimalization. (2016). Garriott, Corey ; Chin, Faith . In: Staff Working Papers. RePEc:bca:bocawp:16-57.

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

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

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2016Carry Trade y Depreciaciones Bruscas del Tipo de Cambio en Colombia. (2016). Gamboa-Estrada, Fredy. In: Borradores de Economia. RePEc:bdr:borrec:957.

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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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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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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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2016Anticipating the Financial Crisis: Evidence from Insider Trading in Banks. (2016). Peydro, Jose-Luis ; Marin, Jose ; Akin, Ozlem . In: Working Papers. RePEc:bge:wpaper:906.

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2016Macroprudential Policies and the Lucas Critique. (2016). Of, Central Bank . In: BIS Papers chapters. RePEc:bis:bisbpc:86-06.

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2016Regulatory change and monetary policy. (2016). Bank for International Settlements, . In: CGFS Papers. RePEc:bis:biscgf:55.

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2016Experiences with the ex ante appraisal of macroprudential instruments. (2016). Bank for International Settlements, . In: CGFS Papers. RePEc:bis:biscgf:56.

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2016How do global investors differentiate between sovereign risks? The new normal versus the old. (2016). Remolona, Eli ; Amstad, Marlene ; Shek, Jimmy . In: BIS Working Papers. RePEc:bis:biswps:541.

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2016Financial intermediation and monetary policy transmission in EMEs: What has changed post-2008 crisis?. (2016). Rishabh, Kumar ; Mohanty, Madhusudan. In: BIS Working Papers. RePEc:bis:biswps:546.

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2016Has the pricing of stocks become more global?. (2016). Schrimpf, Andreas ; Petzev, Ivan ; Wagner, Alexander F. In: BIS Working Papers. RePEc:bis:biswps:560.

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2016Unconventional monetary policies: a re-appraisal. (2016). BORIO, Claudio ; Zabai, Anna . In: BIS Working Papers. RePEc:bis:biswps:570.

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2016Intraday dynamics of euro area sovereign credit risk contagion. (2016). Komarek, Lubos ; Ters, Kristyna . In: BIS Working Papers. RePEc:bis:biswps:573.

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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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2016Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades. (2016). Schrimpf, Andreas ; Schmeling, Maik ; Sarno, Lucio ; Menkhoff, Lukas. In: Journal of Finance. RePEc:bla:jfinan:v:71:y:2016:i:2:p:601-634.

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2016Centralized trading, transparency and interest rate swap market liquidity: evidence from the implementation of the Dodd-Frank Act. (2016). Vasios, Michalis ; Payne, Richard ; Benos, Evangelos. In: Bank of England working papers. RePEc:boe:boeewp:0580.

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2016A comparative analysis of tools to limit the procyclicality of initial margin requirements. (2016). Vause, Nicholas ; Vasios, Michalis ; Murphy, David. In: Bank of England working papers. RePEc:boe:boeewp:0597.

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2016Liquidity determinants in the UK gilt market. (2016). Benos, Evangelos ; Zikes, Filip . In: Bank of England working papers. RePEc:boe:boeewp:0600.

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2016The re-pricing of sovereign risks following the global financial crisis. (2016). Migiakis, Petros ; Malliaropulos, Dimitris . In: Working Papers. RePEc:bog:wpaper:2010.

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2016Risk Premiums in Slovak Government Bonds. (2016). Odor, Ludovit ; Povala, Pavol . In: Discussion Papers. RePEc:cbe:dpaper:201603.

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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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2016Cash Flow Duration and the Term Structure of Equity Returns. (2016). Weber, Michael. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6043.

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2016Rumors and Runs in Opaque Markets: Evidence from the Panic of 1907. (2016). Gehrig, Thomas ; Fohlin, Caroline ; Haas, Marlene . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6048.

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2016Unexpected Loan Losses and Bank Capital in an Estimated DSGE Model of the Euro Area. (2016). Hülsewig, Oliver ; Hristov, Nikolay ; Hulsewig, Oliver . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6160.

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2016When Carry Goes Bad: The Magnitude, Causes, and Duration of Currency Carry Unwinds. (2016). Melvin, Michael ; Shand, Duncan . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6210.

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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). Gottardi, Piero ; Monnet, Cyril ; Maurin, Vincent . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6579.

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2016A new liquidity risk measure for the Chilean banking sector. (2016). Claeys, Grégory ; Martinez, Juan Francisco ; Becerra, Sebastian . In: Journal Economía Chilena (The Chilean Economy). RePEc:chb:bcchec:v:19:y:2016:i:3:p:026-067.

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2016Quantitative Easing and Financial Stability. (2016). Woodford, Michael . In: Central Banking, Analysis, and Economic Policies Book Series. RePEc:chb:bcchsb:v24c06pp151-233.

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2016An Analysis of the Impact of External Financial Risks on the Sovereign Risk Premium of Latin American Economies. (2016). Medel, Carlos A. ; Alfaro, Rodrigo ; Moreno, Carola . In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:795.

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2016Public Goods with Punishment & Payment for Relative Rank. (2016). Baker, Malcolm ; Taliaferro, Ryan ; Burnham, Terence C. In: Working Papers. RePEc:chu:wpaper:16-33.

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2016Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns. (2016). Garcia, René ; Fontaine, Jean-Sebastien ; Gungor, Sermin . In: CIRANO Working Papers. RePEc:cir:cirwor:2016s-21.

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2016Monetary Policy and Leverage Shocks. (2016). Serletis, Apostolos. In: Working Papers. RePEc:clg:wpaper:2016-45.

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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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2016Arbitraje limitado bajo fondeo basado en desempeño. (2016). Melo, Jimmy . In: REVISTA FINANZAS Y POLÍTICA ECONÓMICA. RePEc:col:000443:015416.

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2016Measuring sovereign risk spillovers and assessing the role of transmission channels: a spatial econometrics approach. (2016). Gnabo, Jean-Yves ; Dossougoin, Cyrille ; Debarsy, Nicolas ; Ertur, Cem . In: CORE Discussion Papers. RePEc:cor:louvco:2016053.

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2016Currency Premia and Global Imbalances. (2016). Sarno, Lucio ; Della Corte, Pasquale ; Riddiough, Steven . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11129.

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2016Systemic risk-taking at banks: Evidence from the pricing of syndicated loans. (2016). Wagner, Wolf ; Gong, Di. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11150.

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2016Data Abundance and Asset Price Informativeness. (2016). Foucault, Thierry ; Dugast, Jérôme. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11190.

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2016Quantitative Easing and Financial Stability. (2016). Woodford, Michael . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11287.

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2016Anticipating the Financial Crisis: Evidence from Insider Trading in Banks. (2016). Peydro, Jose-Luis ; Marin, Jose ; Akin, Ozlem . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11302.

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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]		article32
2007Liquidity and Risk Management.(2007) In: NBER Working Papers.
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This paper has another version. Agregated cites: 32		paper
2007Slow Moving Capital In: American Economic Review.
[Full Text][Citation analysis]		article73
2007Slow Moving Capital.(2007) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 73		paper
2007Slow Moving Capital.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 73		paper
2011How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]		article243
2007How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 243		paper
2003Modeling Sovereign Yield Spreads: A Case Study of Russian Debt In: Journal of Finance.
[Full Text][Citation analysis]		article118
2005Predatory Trading In: Journal of Finance.
[Full Text][Citation analysis]		article127
2004Predatory Trading.(2004) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 127		paper
2004Predatory Trading.(2004) In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 127		paper
2004Predatory Trading.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
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2013Value and Momentum Everywhere In: Journal of Finance.
[Full Text][Citation analysis]		article166
2013Dynamic Trading with Predictable Returns and Transaction Costs In: Journal of Finance.
[Full Text][Citation analysis]		article35
2009Dynamic Trading with Predictable Returns and Transaction Costs.(2009) In: CEPR Discussion Papers.
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2009Dynamic Trading with Predictable Returns and Transaction Costs.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
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Betting Against Beta In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper91
2014Betting against beta.(2014) In: Journal of Financial Economics.
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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]		paper2
2016Early option exercise: Never say never.(2016) In: Journal of Financial Economics.
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2003Asset Pricing with Liquidity Risk In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper578
2004Asset Pricing with Liquidity Risk.(2004) In: CEPR Discussion Papers.
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2005Asset pricing with liquidity risk.(2005) In: Journal of Financial Economics.
[Full Text][Citation analysis]
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2004Asset Pricing with Liquidity Risk.(2004) In: NBER Working Papers.
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This paper has another version. Agregated cites: 578		paper
2005Demand-Based Option Pricing In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper116
2005Demand-Based Option Pricing.(2005) In: NBER Working Papers.
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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.
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2006Valuation in Over-the-Counter Markets.(2006) In: NBER Working Papers.
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2007Valuation in Over-the-Counter Markets.(2007) In: Review of Financial Studies.
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2007Market Liquidity and Funding Liquidity In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper973
2007Market liquidity and funding liquidity.(2007) In: LSE Research Online Documents on Economics.
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2007Market Liquidity and Funding Liquidity.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
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2009Market Liquidity and Funding Liquidity.(2009) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 973		article
2009When Everyone Runs for the Exit In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper20
2009When Everyone Runs for the Exit.(2009) In: International Journal of Central Banking.
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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]		paper33
2011Two Monetary Tools: Interest Rates and Haircuts.(2011) In: NBER Chapters.
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2010Two Monetary Tools: Interest Rates and Haircuts.(2010) In: NBER Working Papers.
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This paper has another version. Agregated cites: 33		paper
2010Two Monetary Tools: Interest-Rates and Haircuts.(2010) In: 2010 Meeting Papers.
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2012Measuring Systemic Risk In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper218
2010Measuring systemic risk.(2010) In: Working Paper.
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2013Buffett’s Alpha In: CEPR Discussion Papers.
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2013Buffetts Alpha.(2013) In: NBER Working Papers.
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2013Carry In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2013Carry.(2013) In: NBER Working Papers.
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2013Market Liquidity In: Cambridge Books.
[Citation analysis]		book0
2013Market Liquidity.(2013) In: Cambridge Books.
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2011Monitoring Leverage In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2012Monitoring Leverage.(2012) In: NBER Chapters.
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2005Over-the-Counter Markets In: Econometrica.
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2004Over-the-Counter Markets.(2004) In: NBER Working Papers.
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2004Valuation in Dynamic Bargaining Markets In: Econometric Society 2004 North American Winter Meetings.
[Citation analysis]		paper5
2016Dynamic portfolio choice with frictions In: Journal of Economic Theory.
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2012Time series momentum In: Journal of Financial Economics.
[Full Text][Citation analysis]		article95
2002Securities lending, shorting, and pricing In: Journal of Financial Economics.
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2012How to Calculate Systemic Risk Surcharges In: NBER Chapters.
[Full Text][Citation analysis]		chapter0
2009Carry Trades and Currency Crashes In: NBER Chapters.
[Full Text][Citation analysis]		chapter264
2008Carry Trades and Currency Crashes.(2008) In: NBER Working Papers.
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2011Margin-Based Asset Pricing and Deviations from the Law of One Price In: NBER Working Papers.
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2011Margin-based Asset Pricing and Deviations from the Law of One Price.(2011) In: Review of Financial Studies.
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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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2006Liquidity and Asset Prices In: Foundations and Trends(R) in Finance.
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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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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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2016Generalized Recovery In: 2016 Meeting Papers.
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2013TAXING SYSTEMIC RISK In: World Scientific Book Chapters.
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