Lasse Heje Pedersen : Citation Profile


Are you Lasse Heje Pedersen?

Copenhagen Business School (75% share)
Centre for Economic Policy Research (CEPR) (20% share)
New York University (NYU) (5% share)

29

H index

32

i10 index

10175

Citations

RESEARCH PRODUCTION:

32

Articles

52

Papers

3

Books

6

Chapters

RESEARCH ACTIVITY:

   20 years (2002 - 2022). See details.
   Cites by year: 508
   Journals where Lasse Heje Pedersen has often published
   Relations with other researchers
   Recent citing documents: 516.    Total self citations: 47 (0.46 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe174
   Updated: 2024-01-16    RAS profile: 2022-08-04    
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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:

Zaremba, Adam (73)

Vayanos, Dimitri (70)

Adrian, Tobias (61)

He, Zhiguo (52)

Sarno, Lucio (51)

Schrimpf, Andreas (46)

Acharya, Viral (46)

Shin, Hyun Song (45)

Pelizzon, Loriana (38)

Weill, Pierre-Olivier (38)

Li, Youwei (36)

Cites to:

French, Kenneth (23)

Shleifer, Andrei (21)

Acharya, Viral (18)

Fama, Eugene (18)

Amihud, Yakov (16)

Vayanos, Dimitri (15)

Stambaugh, Robert (15)

Campbell, John (14)

Subrahmanyam, Avanidhar (13)

Tirole, Jean (12)

Pastor, Lubos (11)

Main data


Where Lasse Heje Pedersen has published?


Journals with more than one article published# docs
Journal of Financial Economics10
Review of Financial Studies7
Journal of Finance5
American Economic Review2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc21
CEPR Discussion Papers / C.E.P.R. Discussion Papers20
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2
Econometric Society 2004 North American Winter Meetings / Econometric Society2

Recent works citing Lasse Heje Pedersen (2024 and 2023)


YearTitle of citing document
2023Exchange rate risk and sovereign debt risk in South Africa: A Regime Dependent Approach. (2023). Biyase, Mduduzi ; Manguzvane, Mathias. In: Economics Working Papers. RePEc:ady:wpaper:edwrg-04-2023.

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2023.

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2023.

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2023Analysis of Dynamic Connectedness among Sovereign CDS Premia. (2023). Ceylan, Ozcan. In: World Journal of Applied Economics. RePEc:ana:journl:v:9:y:2023:i:1:p:33-47.

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2023Dynamic Networks in Large Financial and Economic Systems. (2020). Baruník, Jozef ; Ellington, Michael. In: Papers. RePEc:arx:papers:2007.07842.

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2023Bitcoin Trading is Irrational! An Analysis of the Disposition Effect in Bitcoin. (2020). Haslhofer, Bernhard ; Schatzmann, Jurgen E. In: Papers. RePEc:arx:papers:2010.12415.

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2023An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2023Deep Reinforcement Trading with Predictable Returns. (2021). Brini, Alessio ; Tantari, Daniele. In: Papers. RePEc:arx:papers:2104.14683.

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2023Closed-Loop Nash Competition for Liquidity. (2021). Neuman, Eyal ; Muhle-Karbe, Johannes ; Micheli, Alessandro. In: Papers. RePEc:arx:papers:2112.02961.

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2023Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962.

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2023Reducing Obizhaeva-Wang type trade execution problems to LQ stochastic control problems. (2022). Urusov, Mikhail ; Kruse, Thomas ; Ackermann, Julia. In: Papers. RePEc:arx:papers:2206.03772.

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2023Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2023A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies. (2022). Xia, Xiaonyu ; Horst, Ulrich ; Fu, Guanxing. In: Papers. RePEc:arx:papers:2207.00446.

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2023Beta-Sorted Portfolios. (2022). Wang, Weining ; Crump, Richard K ; Cattaneo, Matias D. In: Papers. RePEc:arx:papers:2208.10974.

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2023Fast and Slow Optimal Trading with Exogenous Information. (2022). Neuman, Eyal ; Micheli, Alessandro. In: Papers. RePEc:arx:papers:2210.01901.

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2023Systemic robustness: a mean-field particle system approach. (2022). Bayraktar, Erhan ; Zhang, Yuming Paul ; Tang, Wenpin ; Guo, Gaoyue. In: Papers. RePEc:arx:papers:2212.08518.

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2023Peer-reviewed theory does not help predict the cross-section of stock returns. (2022). Zimmermann, Tom ; Lopez-Lira, Alejandro ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2212.10317.

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2023View fusion vis-\`a-vis a Bayesian interpretation of Black-Litterman for portfolio allocation. (2023). Roberts, Stephen ; Zohren, Stefan ; Spears, Trent. In: Papers. RePEc:arx:papers:2301.13594.

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2023Long-term option pricing with a lower reflecting barrier. (2023). Thomas, Guy R. In: Papers. RePEc:arx:papers:2302.05808.

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2023Bayesian Optimization of ESG Financial Investments. (2023). Vaca, Maria Coronado ; Piris, Gabriel Gonz'Alez ; Garrido-Merch, Eduardo C. In: Papers. RePEc:arx:papers:2303.01485.

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2023A Unified Framework for Fast Large-Scale Portfolio Optimization. (2023). Safikhani, Abolfazl ; Polak, Pawel ; Shah, Ronakdilip ; Deng, Weichuan. In: Papers. RePEc:arx:papers:2303.12751.

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2023Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks. (2023). Usseglio-Carleve, Antoine ; Kratz, Marie ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2304.06950.

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2023The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349.

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2023Green portfolio optimization: A scenario analysis and stress testing based novel approach for sustainable investing in the paradigm Indian markets. (2023). Chakrabarty, Siddhartha P ; Raj, Rishabh ; Mishra, Shashwat. In: Papers. RePEc:arx:papers:2305.16712.

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2023The Cost of Misspecifying Price Impact. (2023). Webster, Kevin ; Muhle-Karbe, Johannes ; Mastromatteo, Iacopo ; Bouchaud, Jean-Philippe ; Hey, Natascha. In: Papers. RePEc:arx:papers:2306.00599.

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2023Constructing Time-Series Momentum Portfolios with Deep Multi-Task Learning. (2023). Herremans, Dorien ; Ong, Joel. In: Papers. RePEc:arx:papers:2306.13661.

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2023Liquidity Premium, Liquidity-Adjusted Return and Volatility, and a Unified Modern Portfolio Theory: illustrated with Crypto Assets. (2023). Deng, QI. In: Papers. RePEc:arx:papers:2306.15807.

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2023Deep Inception Networks: A General End-to-End Framework for Multi-asset Quantitative Strategies. (2023). Zohren, Stefan ; Roberts, Stephen ; Liu, Tom. In: Papers. RePEc:arx:papers:2307.05522.

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2023Multi-Factor Inception: What to Do with All of These Features?. (2023). Zohren, Stefan ; Liu, Tom. In: Papers. RePEc:arx:papers:2307.13832.

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2023Network Momentum across Asset Classes. (2023). Zohren, Stefan ; Dong, Xiaowen ; Roberts, Stephen ; Pu, Xingyue. In: Papers. RePEc:arx:papers:2308.11294.

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2023New general dependence measures: construction, estimation and application to high-frequency stock returns. (2023). Leeuwenkamp, Aleksy ; Hu, Wentao. In: Papers. RePEc:arx:papers:2309.00025.

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2023ESG-coherent risk measures for sustainable investing. (2023). Lindquist, Brent W ; Rachev, Svetlozar T ; Dentcheva, Darinka ; Giacometti, Rosella ; Torri, Gabriele. In: Papers. RePEc:arx:papers:2309.05866.

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2023Systemic risk in financial networks: the effects of asymptotic independence. (2023). Fasen-Hartmann, Vicky ; Das, Bikramjit. In: Papers. RePEc:arx:papers:2309.15511.

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2023Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot. (2023). Jacka, Saul D ; Gupta, Puru. In: Papers. RePEc:arx:papers:2309.16047.

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2023NoxTrader: LSTM-Based Stock Return Momentum Prediction for Quantitative Trading. (2023). Chiu, Wei-Ning ; Shu, Han-Jay ; Liu, Hsiang-Hui. In: Papers. RePEc:arx:papers:2310.00747.

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2023Unwinding Stochastic Order Flow: When to Warehouse Trades. (2023). Zhao, Long ; Webster, Kevin ; Nutz, Marcel. In: Papers. RePEc:arx:papers:2310.14144.

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2023Regressions under Adverse Conditions. (2023). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327.

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2023Tail Risk and Systemic Risk Estimation of Cryptocurrencies: an Expectiles and Marginal Expected Shortfall based approach. (2023). Teruzzi, Andrea. In: Papers. RePEc:arx:papers:2311.17239.

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2023.

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2023Intermediary Market Power and Capital Constraints. (2023). Allen, Jason ; Wittwer, Milena. In: Staff Working Papers. RePEc:bca:bocawp:23-51.

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2023Assessing the liquidity premium in the Italian bond market. (2023). Venturi, Giulio Carlo ; Drudi, Maria Ludovica. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_795_23.

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2023Investor behavior under market stress:evidence from the Italian sovereign bond market. (2023). Panzarino, Onofrio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:misp_033_23.

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2023Investigating the determinants of corporate bond credit spreads in the euro area. (2023). Mirante, Pasquale ; Letta, Simone. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:misp_036_23.

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2023Volume dynamics around FOMC announcements. (2023). Zhu, Sonya. In: BIS Working Papers. RePEc:bis:biswps:1079.

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2023Crypto carry. (2023). Schrimpf, Andreas ; Todorov, Karamfil ; Schmeling, Maik. In: BIS Working Papers. RePEc:bis:biswps:1087.

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2023To lend or not to lend: the Bank of Japans ETF purchase program and securities lending. (2023). Takahashi, Koji ; Shino, Junnosuke ; Katagiri, Mitsuru. In: BIS Working Papers. RePEc:bis:biswps:1113.

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2023The cumulant risk premium. (2023). Todorov, Karamfil. In: BIS Working Papers. RePEc:bis:biswps:1128.

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2023Dealer capacity and US Treasury market functionality. (2023). Van Tassel, Peter ; Fleming, Michael ; Shachar, OR ; Nelson, Claire ; Keane, Frank ; Duffie, Darrell. In: BIS Working Papers. RePEc:bis:biswps:1138.

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2023Dollar and government bond liquidity: evidence from Korea. (2023). Lee, Jieun. In: BIS Working Papers. RePEc:bis:biswps:1145.

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2023Shorting costs and profitability of long–short strategies. (2023). Lee, Byeungjoo ; Kim, Dongcheol. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:1:p:277-316.

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2023Timing the factor zoo via deep learning: Evidence from China. (2023). Jiang, Fuwei ; Liao, Cunfei ; Ma, Tian. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:1:p:485-505.

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2023How is illiquidity priced in the Chinese stock market?. (2023). Shen, Zhiqi ; Jiang, Fuwei ; Wu, Kai ; Liu, Jun. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:1285-1320.

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2023Impact of government policy responses of COVID?19 pandemic on stock market liquidity for Australian companies. (2023). Zgheib, Bernard ; Kassamany, Talie. In: Australian Economic Papers. RePEc:bla:ausecp:v:62:y:2023:i:1:p:24-46.

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2023Predicting stock realized variance based on an asymmetric robust regression approach. (2023). He, Mengxi ; Zhang, Yaojie ; Hao, Xianfeng ; Zhao, Yuqi. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1022-1047.

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2023Microstructure and asset pricing: An insight on African frontier stock markets. (2023). Nchofoung, Tii ; Hikouatcha, Prince ; Tchoffo, Pierre Ghislain ; Bidias, Hans Patrick ; Njamen, Arsene Aurelien. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:944-987.

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2023Bondholder representatives on bank boards: A device for market discipline. (2023). Hieu, Phan Huy ; Strobel, Frank ; Lepetit, Laetitia ; Distinguin, Isabelle. In: Economic Inquiry. RePEc:bla:ecinqu:v:61:y:2023:i:3:p:738-765.

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2023Asset pricing with a financial sector. (2023). Xu, Chenjie ; Li, Kai. In: Financial Management. RePEc:bla:finmgt:v:52:y:2023:i:1:p:67-95.

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2023Financial development and the effect of cross?border bank flows on house prices. (2023). Hyde, Stuart ; Cho, Sungjun ; Romero, Nestor. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:1:p:39-63.

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2023Investor attention and the use of leverage. (2023). Peltomaki, Jarkko ; Davydov, Denis. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:2:p:287-313.

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2023International evidence on the association of leverage with stock returns and the value premium. (2023). Jansen, Benjamin A ; Garciafeijoo, Luis. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:2:p:315-341.

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2023Effect of high?frequency trading on mutual fund performance. (2023). Singal, Vijay ; Qin, Nan. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:2:p:369-394.

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2023Political geography and the value relevance of real options. (2023). Pantzalis, Christos ; Douidar, Shaddy ; Park, Jung Chul. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:4:p:703-733.

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2023The maturity?lengthening role of national development banks. (2023). Schclarek, Alfredo ; Yan, Jianye ; Xu, Jiajun. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:1:p:130-157.

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2023The role of tail network topological characteristic in portfolio selection: A TNA?PMC model. (2023). Zhao, Qinna ; Jiang, Cuixia ; Xu, Qifa ; Li, Mengting. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:1:p:37-57.

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2023Economic policy uncertainty and fund flow performance sensitivity: Evidence from New Zealand. (2023). Demirer, Riza ; Hegde, Prasad ; Badshah, Ihsan ; Ali, Sara. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:3:p:666-679.

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2023Ride the trend: Is there spread momentum profit in the US commodity markets?. (2023). Garcia, Philip ; Serra, Teresa ; Shang, Quanbiao. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:74:y:2023:i:1:p:24-47.

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2023Beyond Basis Basics: Liquidity Demand and Deviations from the Law of One Price. (2023). Vasudevan, Kaushik ; Moskowitz, Tobias J ; Hazelkorn, Todd M. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:301-345.

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2023Principal Portfolios. (2023). Pedersen, Lasse Heje ; Malamud, Semyon ; Kelly, Bryan. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:347-387.

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2023Pricing Currency Risks. (2023). Chernov, Mikhail ; Lochstoer, Lars ; Dahlquist, Magnus. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:2:p:693-730.

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2023A Model of Systemic Bank Runs. (2023). Liu, Xuewen. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:2:p:731-793.

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2023Pockets of Predictability. (2023). Timmermann, Allan ; Schmidt, Lawrence ; Farmer, Leland E. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1279-1341.

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2023.

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2023Trading and liquidity in the catastrophe bond market. (2023). Hibbeln, Martin ; Herrmann, Markus. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:283-328.

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2023Cheaper by the bundle: The interaction of frictions and option exercise in variable annuities. (2023). Moenig, Thorsten ; Bauer, Daniel. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:459-486.

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2023The remote work revolution: Impact on real estate values and the urban environment: 2023 AREUEA Presidential Address. (2023). van Nieuwerburgh, Stijn. In: Real Estate Economics. RePEc:bla:reesec:v:51:y:2023:i:1:p:7-48.

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2023.

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2023Carry trades and US monetary policy. (2023). Falconio, Andrea. In: Review of International Economics. RePEc:bla:reviec:v:31:y:2023:i:1:p:237-248.

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2023Optimum financial areas: Retooling the governance of global finance. (2023). Jones, Erik. In: The World Economy. RePEc:bla:worlde:v:46:y:2023:i:6:p:1582-1608.

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2023Mispricing in inflation markets. (2023). Pinter, Gabor ; Barria, Rodrigo. In: Bank of England working papers. RePEc:boe:boeewp:1034.

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2023The liquidity state-dependence of monetary policy transmission. (2023). Wijnandts, Jean-Charles ; Pinter, Gabor ; Guimaraes, Rodrigo. In: Bank of England working papers. RePEc:boe:boeewp:1045.

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2023The evaluation of the effects of ESG scores on financial markets. (2023). Costa, Michele. In: Working Papers. RePEc:bol:bodewp:wp1189.

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2023Monitoring Banking System Connectedness with Big Data. (2023). Lopez, Jose ; Hale, Galina. In: Santa Cruz Department of Economics, Working Paper Series. RePEc:cdl:ucscec:qt17h5v7rj.

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2023Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility. (2023). Kon, N'Golo ; Carrasco, Marine. In: CIRANO Working Papers. RePEc:cir:cirwor:2023s-03.

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2023Cyclical Investment Behavior of Investment Funds: Its Heterogeneity and Drivers. (2023). Szabo, Milan. In: Working Papers. RePEc:cnb:wpaper:2023/5.

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2023.

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2023The contribution of realized covariance models to the economic value of volatility timing. (2023). Bauwens, Luc ; Xu, Yongdeng. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023018.

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2023Macroprudential Regulation: A Risk Management Approach. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:765.

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2023Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:768.

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2023Preferred habitat investors in the green bond market. (2023). Boermans, Martijn. In: Working Papers. RePEc:dnb:dnbwpp:773.

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2023The pricing of climate transition risk in Europe’s equity market. (2023). van Wijnbergen, Sweder ; Luijendijk, Rianne ; Loyson, Philippe. In: Working Papers. RePEc:dnb:dnbwpp:788.

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2023Stock Market Liquidity during Periods of Distress and its Implications: Evidence from International Financial Markets. (2023). Enow, Samuel Tabot. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2023-01-1.

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2023Systemic Risk: A Comparative Study between Public and Private Banks. (2023). Mahmoud, Imen ; Mselmi, Aymen. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2023-03-12.

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2023Stock liquidity and societal trust. (2023). Zadeh, Mohammad Hendijani. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022000612.

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2023Are banks risk-averse or risk-neutral investors?. (2023). Ishinagi, Yoshikazu ; Takino, Kazuhiro. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635023000060.

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2023The beta anomaly and the quality effect in international stock markets. (2023). Wu, Winston ; Veron, Jose Francisco ; Bradrania, Reza. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:38:y:2023:i:c:s2214635023000229.

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2023Wage gap and stock returns: Do investors dislike pay inequality?. (2023). Zhu, Yuhao ; Montone, Maurizio ; Dittmann, Ingolf. In: Journal of Corporate Finance. RePEc:eee:corfin:v:78:y:2023:i:c:s0929119922001651.

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2023Liability taxes, risk, and the cost of banking crises. (2023). Fatica, Serena ; Pagano, Andrea ; Kvedaras, Virmantas ; Heynderickx, Wouter ; Bellucci, Andrea. In: Journal of Corporate Finance. RePEc:eee:corfin:v:79:y:2023:i:c:s0929119923000366.

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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]
article67
2007Liquidity and Risk Management.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 67
paper
2007Slow Moving Capital In: American Economic Review.
[Full Text][Citation analysis]
article174
2007Slow Moving Capital.(2007) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 174
paper
2007Slow Moving Capital.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 174
paper
2011How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]
article607
2007How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 607
paper
2003Modeling Sovereign Yield Spreads: A Case Study of Russian Debt In: Journal of Finance.
[Full Text][Citation analysis]
article188
2005Predatory Trading In: Journal of Finance.
[Full Text][Citation analysis]
article141
2004Predatory Trading.(2004) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 141
paper
2004Predatory Trading.(2004) In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 141
paper
2004Predatory Trading.(2004) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 141
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2013Value and Momentum Everywhere In: Journal of Finance.
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article719
2013Dynamic Trading with Predictable Returns and Transaction Costs In: Journal of Finance.
[Full Text][Citation analysis]
article156
2009Dynamic Trading with Predictable Returns and Transaction Costs.(2009) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 156
paper
2009Dynamic Trading with Predictable Returns and Transaction Costs.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 156
paper
2018Efficiently Inefficient Markets for Assets and Asset Management In: Journal of Finance.
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article49
2018Efficiently Inefficient Markets for Assets and Asset Management.(2018) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49
paper
2015Efficiently Inefficient Markets for Assets and Asset Management.(2015) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49
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2012Betting Against Beta In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper525
2014Betting against beta.(2014) In: Journal of Financial Economics.
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2010Betting Against Beta.(2010) In: NBER Working Papers.
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2020Principal Portfolios In: Swiss Finance Institute Research Paper Series.
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paper0
2020Principal Portfolios.(2020) In: NBER Working Papers.
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2015Early Option Exercise: Never Say Never In: CEPR Discussion Papers.
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paper11
2016Early option exercise: Never say never.(2016) In: Journal of Financial Economics.
[Full Text][Citation analysis]
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2018Generalized Recovery In: CEPR Discussion Papers.
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paper8
2019Generalized recovery.(2019) In: Journal of Financial Economics.
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2016Generalized Recovery.(2016) In: 2016 Meeting Papers.
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2018Size Matters, if You Control Your Junk In: CEPR Discussion Papers.
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paper35
2018Size matters, if you control your junk.(2018) In: Journal of Financial Economics.
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[Full Text][Citation analysis]
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2020Betting against correlation: Testing theories of the low-risk effect.(2020) In: Journal of Financial Economics.
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2018Risk Everywhere: Modeling and Managing Volatility In: CEPR Discussion Papers.
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paper114
2018Risk Everywhere: Modeling and Managing Volatility.(2018) In: Review of Financial Studies.
[Full Text][Citation analysis]
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2003Asset Pricing with Liquidity Risk In: CEPR Discussion Papers.
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paper1114
2004Asset Pricing with Liquidity Risk.(2004) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 1114
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2005Asset pricing with liquidity risk.(2005) In: Journal of Financial Economics.
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2004Asset Pricing with Liquidity Risk.(2004) In: NBER Working Papers.
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2005Demand-Based Option Pricing In: CEPR Discussion Papers.
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paper227
2005Demand-Based Option Pricing.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 227
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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.
[Full Text][Citation analysis]
paper196
2006Valuation in Over-the-Counter Markets.(2006) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 196
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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.
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paper2264
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.
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This paper has nother version. Agregated cites: 2264
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2009Market Liquidity and Funding Liquidity.(2009) In: Review of Financial Studies.
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This paper has nother version. Agregated cites: 2264
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2009When Everyone Runs for the Exit In: CEPR Discussion Papers.
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paper52
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.
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2010Two Monetary Tools: Interest Rates and Haircuts In: CEPR Discussion Papers.
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paper93
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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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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paper946
2010Measuring systemic risk.(2010) In: Working Papers (Old Series).
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2017Measuring Systemic Risk.(2017) In: Review of Financial Studies.
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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.
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2018Carry.(2018) In: Journal of Financial Economics.
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2013Carry.(2013) In: NBER Working Papers.
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2013Market Liquidity In: Cambridge Books.
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2013Market Liquidity.(2013) In: Cambridge Books.
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2011Monitoring Leverage In: Cowles Foundation Discussion Papers.
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paper2
2012Monitoring Leverage.(2012) In: NBER Chapters.
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2005Over-the-Counter Markets In: Econometrica.
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article358
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.
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paper5
2016Dynamic portfolio choice with frictions In: Journal of Economic Theory.
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2012Time series momentum In: Journal of Financial Economics.
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article121
2002Securities lending, shorting, and pricing In: Journal of Financial Economics.
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article240
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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chapter594
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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paper270
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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paper6
2022Embedded Leverage.(2022) In: The Review of Asset Pricing Studies.
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paper21
2006Liquidity and Asset Prices In: Foundations and Trends(R) in Finance.
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article217
2005Liquidity and Asset Prices.(2005) In: MPRA Paper.
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2019Economics with Market Liquidity Risk In: Critical Finance Review.
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2004Adverse Selection and the Required Return In: Review of Financial Studies.
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2015Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined In: Economics Books.
[Citation analysis]
book28
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[Full Text][Citation analysis]
article33
2013TAXING SYSTEMIC RISK In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter5

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