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)

28

H index

32

i10 index

9853

Citations

RESEARCH PRODUCTION:

32

Articles

52

Papers

3

Books

6

Chapters

RESEARCH ACTIVITY:

   20 years (2002 - 2022). See details.
   Cites by year: 492
   Journals where Lasse Heje Pedersen has often published
   Relations with other researchers
   Recent citing documents: 1673.    Total self citations: 47 (0.47 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe174
   Updated: 2023-08-19    RAS profile: 2022-08-04    
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Relations with other researchers

Works with:

Gormsen, Niels (2)

Bollerslev, Tim (2)

Acharya, Viral (2)

Lando, David (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:

Zaremba, Adam (73)

Adrian, Tobias (61)

Vayanos, Dimitri (57)

He, Zhiguo (49)

Sarno, Lucio (47)

Acharya, Viral (46)

Schrimpf, Andreas (46)

Shin, Hyun Song (45)

Pelizzon, Loriana (38)

Weill, Pierre-Olivier (38)

Li, Youwei (35)

Cites to:

Shleifer, Andrei (21)

French, Kenneth (19)

Acharya, Viral (18)

Fama, Eugene (18)

Amihud, Yakov (16)

Stambaugh, Robert (15)

Vayanos, Dimitri (15)

Campbell, John (14)

Subrahmanyam, Avanidhar (13)

Tirole, Jean (12)

Constantinides, George (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 (2022 and 2021)

YearTitle of citing document
2021The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2021-11.

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2021Spillovers of Senior Mutual Fund Managers’ Capital Raising Ability. (2021). Xu, Yue. In: CREATES Research Papers. RePEc:aah:create:2022-03.

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2022The Prior Adaptive Group Lasso and the Factor Zoo. (2022). Bertelsen, Kristoffer Pons. In: CREATES Research Papers. RePEc:aah:create:2022-05.

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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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2022Economic imperatives of financialization of agricultural commodity markets. (2022). Dbrowska, Anna ; Kosarchyn, Mariya ; Hrabynska, Iryna. In: Agricultural and Resource Economics: International Scientific E-Journal. RePEc:ags:areint:330337.

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2021Loss Sharing in Central Clearinghouses: Winners and Losers. (2021). Sherman, Mila Getmansky ; Pelizzon, Loriana ; Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:066.

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2021Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk. (2021). Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:079.

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2021Responsible Investment and Responsible Consumption. (2021). Schliephake, Eva ; Hakenes, Hendrik. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:134.

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2022Investor-Driven Corporate Finance: Evidence from Insurance Markets. (2022). Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:144.

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2022Imperfect Competition in Derivatives Markets. (2022). Brinkmann, Christina. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:153.

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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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2022When is the Order to Trade Ratio fee effective?. (2022). Thomas, Susan ; Panchapagesan, Venkatesh ; Aggarwal, Nidhi. In: Working Papers. RePEc:anf:wpaper:11.

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2022When is the Order to Trade fee effective?. (2021). Thomas, Susan ; Panchapagesan, Venkatesh ; Aggarwal, Nidhi. In: Working Papers. RePEc:anf:wpaper:8.

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2022Out of Sync: Dispersed Short Selling and the Correction of Mispricing. (2022). Verwijmeren, Patrick ; Sotes-Paladino, Juan ; Gargano, Antonio. In: Working Papers. RePEc:aoz:wpaper:108.

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2022Short of Capital: Stock Market Implications of Short Sellers’ Losses. (2022). Verwijmeren, Patrick ; Sotes-Paladino, Juan ; Gargano, Antonio. In: Working Papers. RePEc:aoz:wpaper:116.

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2022Sovereign Debt. (2022). Zettelmeyer, Jeromin ; Roldan, Francisco ; Roch, Francisco ; Martinez, Leonardo. In: Working Papers. RePEc:aoz:wpaper:167.

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2021Does It Matter How Central Banks Accumulate Reserves? Evidence from Sovereign Spreads. (2021). Sturzenegger, Federico ; Sosa-Padilla, Cesar. In: Working Papers. RePEc:aoz:wpaper:79.

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2021Maximum drawdown, recovery and momentum. (2015). Choi, Jaehyung . In: Papers. RePEc:arx:papers:1403.8125.

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2022Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274.

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2022News Co-Occurrence, Attention Spillover and Return Predictability. (2018). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715.

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2022A Time-Varying Network for Cryptocurrencies. (2021). Tao, Yubo ; Hardle, Wolfgang Karl ; Guo, LI. In: Papers. RePEc:arx:papers:1802.03708.

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2021Liquidity in Competitive Dealer Markets. (2018). Muhle-Karbe, Johannes ; Ekren, Ibrahim ; Bank, Peter. In: Papers. RePEc:arx:papers:1807.08278.

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2021High-dimensional statistical arbitrage with factor models and stochastic control. (2019). Guijarro-Ordonez, Jorge. In: Papers. RePEc:arx:papers:1901.09309.

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2021Deep Learning in Asset Pricing. (2019). Zhu, Jason ; Pelger, Markus ; Chen, Luyang. In: Papers. RePEc:arx:papers:1904.00745.

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2022Weekly idiosyncratic risk metrics and idiosyncratic momentum: Evidence from the Chinese stock market. (2019). Zhou, Wei-Xing ; Shi, Huai-Long . In: Papers. RePEc:arx:papers:1910.13115.

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2021Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2019). Kuo, Weiyu ; Hardle, Wolfgang Karl ; Hu, Junjie. In: Papers. RePEc:arx:papers:1912.05228.

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2022Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact. (2020). Voss, Moritz ; Neuman, Eyal. In: Papers. RePEc:arx:papers:2002.09549.

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2021Low-volatility Anomaly and the Adaptive Multi-Factor Model. (2020). Jarrow, Robert ; Zhu, Liao ; Wells, Martin T ; Murataj, Rinald. In: Papers. RePEc:arx:papers:2003.08302.

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2021The illiquidity network of stocks in Chinas market crash. (2020). Zhao, Jichang ; Tan, Xiaoling. In: Papers. RePEc:arx:papers:2004.01917.

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2021Stress testing and systemic risk measures using multivariate conditional probability. (2020). Aste, Tomaso. In: Papers. RePEc:arx:papers:2004.06420.

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2021Deep Learning for Portfolio Optimisation. (2020). Roberts, Stephen ; Zohren, Stefan ; Zhang, Zihao. In: Papers. RePEc:arx:papers:2005.13665.

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2021Suffocating Fire Sales. (2020). Ritter, Daniel ; Panagiotou, Konstantinos ; Meyer-Brandis, Thilo ; Detering, Nils. In: Papers. RePEc:arx:papers:2006.08110.

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2021Dynamic 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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2021Dirichlet policies for reinforced factor portfolios. (2020). Coqueret, Guillaume ; Andr, Eric. In: Papers. RePEc:arx:papers:2011.05381.

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2021A Model of Market Making and Price Impact. (2021). Singh, Angad . In: Papers. RePEc:arx:papers:2101.01388.

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2021Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk. (2021). Roncalli, Thierry ; Regnault, Margaux ; Pan, Franccois ; Karray-Meziou, Fatma. In: Papers. RePEc:arx:papers:2101.02110.

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2021Dynamic Ordering Learning in Multivariate Forecasting. (2021). Lopes, Hedibert F ; Bruno, . In: Papers. RePEc:arx:papers:2101.04164.

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2021Uncertainty Network Risk and Currency Returns. (2021). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2101.09738.

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2021Optimal investment in illiquid market with search frictions and transaction costs. (2021). Choi, Jin Hyuk ; Gang, Tae Ung. In: Papers. RePEc:arx:papers:2101.09936.

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2022Integrating prediction in mean-variance portfolio optimization. (2021). Kwon, Roy H ; Butler, Andrew. In: Papers. RePEc:arx:papers:2102.09287.

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2021Multi-Period Portfolio Optimization using Model Predictive Control with Mean-Variance and Risk Parity Frameworks. (2021). Mulvey, John M ; Uysal, Sinem A ; Li, Xiaoyue. In: Papers. RePEc:arx:papers:2103.10813.

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2021Research on Portfolio Liquidation Strategy under Discrete Times. (2021). Li, Handong ; Shi, YU ; Luo, Qixuan. In: Papers. RePEc:arx:papers:2103.15400.

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2022Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2104.10673.

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2022An 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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2021Why and how systematic strategies decay. (2021). Falck, Antoine ; Thesmar, David ; Rej, Adam. In: Papers. RePEc:arx:papers:2105.01380.

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2021Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk. (2021). Roncalli, Thierry ; Karray-Meziou, Fatma ; Cherief, Amina ; Regnault, Margaux. In: Papers. RePEc:arx:papers:2105.08377.

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2022Enhancing Cross-Sectional Currency Strategies by Ranking Refinement with Transformer-based Architectures. (2021). Zohren, Stefan ; Lim, Bryan ; Poh, Daniel ; Roberts, Stephen. In: Papers. RePEc:arx:papers:2105.10019.

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2021Learning about latent dynamic trading demand. (2021). Choi, Jin Hyuk ; Chen, Xiao ; Seppi, Duane J ; Larsen, Kasper. In: Papers. RePEc:arx:papers:2105.13401.

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2021Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection. (2021). Zohren, Stefan ; Roberts, Stephen ; Wood, Kieran. In: Papers. RePEc:arx:papers:2105.13727.

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2021Deep Reinforcement Learning in Quantitative Algorithmic Trading: A Review. (2021). Pricope, Tidor-Vlad. In: Papers. RePEc:arx:papers:2106.00123.

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2021Learning Multiple Stock Trading Patterns with Temporal Routing Adaptor and Optimal Transport. (2021). Bian, Jiang ; Liu, Weiqing ; Zhou, Dong ; Lin, Hengxu. In: Papers. RePEc:arx:papers:2106.12950.

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2021Financial Markets and the Phase Transition between Water and Steam. (2021). Schmidhuber, Christof. In: Papers. RePEc:arx:papers:2107.03857.

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2021The Adaptive Multi-Factor Model and the Financial Market. (2021). Zhu, Liao. In: Papers. RePEc:arx:papers:2107.14410.

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2022The Inelastic Market Hypothesis: A Microstructural Interpretation. (2021). Bouchaud, Jean-Philippe. In: Papers. RePEc:arx:papers:2108.00242.

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2022Welfare implications of noise traders. (2021). Weston, Kim ; Choi, Jin Hyuk. In: Papers. RePEc:arx:papers:2108.00973.

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2021Deep Sequence Modeling: Development and Applications in Asset Pricing. (2021). Zhang, Yang ; Wang, Jingyuan ; Tang, KE ; Cong, Lin William. In: Papers. RePEc:arx:papers:2108.08999.

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2021A Time-Varying Network for Cryptocurrencies. (2021). Tao, Yubo ; Hardle, Wolfgang Karl ; Guo, LI. In: Papers. RePEc:arx:papers:2108.11921.

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2021A Wavelet Method for Panel Models with Jump Discontinuities in the Parameters. (2021). Kneip, Alois ; Bada, Oualid ; Sickles, Robin C ; Gualtieri, James ; Mensinger, Tim ; Liebl, Dominik. In: Papers. RePEc:arx:papers:2109.10950.

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2021Reinforcement Learning for Quantitative Trading. (2021). An, BO ; Wang, Rundong ; Sun, Shuo. In: Papers. RePEc:arx:papers:2109.13851.

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2021Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk. (2021). Roncalli, Thierry. In: Papers. RePEc:arx:papers:2110.01302.

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2021Costly Trading. (2021). Isichenko, Michael. In: Papers. RePEc:arx:papers:2110.15239.

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2022Deep Learning Algorithms for Hedging with Frictions. (2021). Zhang, Zhanhao ; Xu, Daran ; Shi, Xiaofei. In: Papers. RePEc:arx:papers:2111.01931.

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2021The Evolving Causal Structure of Equity Risk Factors. (2021). BONCHI, FRANCESCO ; Bajardi, Paolo ; D'Acunto, Gabriele ; de Francisci, Gianmarco. In: Papers. RePEc:arx:papers:2111.05072.

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2021Securities Lending Haircuts and Indemnification Pricing. (2021). Lou, Wujiang. In: Papers. RePEc:arx:papers:2111.13228.

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2022Deep differentiable reinforcement learning and optimal trading. (2021). Jaisson, Thibault. In: Papers. RePEc:arx:papers:2112.02944.

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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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2022Data-driven integration of regularized mean-variance portfolios. (2021). Kwon, Roy H ; Butler, Andrew. In: Papers. RePEc:arx:papers:2112.07016.

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2022NumHTML: Numeric-Oriented Hierarchical Transformer Model for Multi-task Financial Forecasting. (2022). Dong, Ruihai ; Li, Jiazheng ; Yang, Linyi ; Smyth, Barry ; Zhang, Yue. In: Papers. RePEc:arx:papers:2201.01770.

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2022Optimal trend following portfolios. (2022). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2201.06635.

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2022Decomposing LIBOR in Transition: Evidence from the Futures Markets. (2022). Skov, Jacob Bjerre ; Skovmand, David. In: Papers. RePEc:arx:papers:2201.06930.

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2022DeepScalper: A Risk-Aware Deep Reinforcement Learning Framework for Intraday Trading with Micro-level Market Embedding. (2021). He, XU ; Wang, Rundong ; Sun, Shuo ; Li, Jian ; Zhu, Junlei. In: Papers. RePEc:arx:papers:2201.09058.

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2022Derivatives Holdings and Systemic Risk in the U.S. Banking Sector. (2022). Mayordomo, Sergio ; Pena, Juan Ignacio ; Rodriguez-Moreno, Maria. In: Papers. RePEc:arx:papers:2202.02254.

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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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2022Weighted-average quantile regression. (2022). Chetverikov, Denis ; Tsyvinski, Aleh ; Liu, Yukun. In: Papers. RePEc:arx:papers:2203.03032.

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2022Vulnerability-CoVaR: Investigating the Crypto-market. (2022). Okhrin, Ostap ; Singh, Abhay Kumar ; Waltz, Martin. In: Papers. RePEc:arx:papers:2203.10777.

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2022The echo chamber effect resounds on financial markets: a social media alert system for meme stocks. (2022). Riccaboni, Massimo ; Longo, Luigi ; Gianstefani, Ilaria. In: Papers. RePEc:arx:papers:2203.13790.

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2022A Model of Financial Market Control. (2022). Ohashi, Yoshihiro . In: Papers. RePEc:arx:papers:2205.01260.

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2022Randomized geometric tools for anomaly detection in stock markets. (2022). Tsigaridas, Elias ; Fisikopoulos, Vissarion ; Chalkis, Apostolos ; Bachelard, Cyril. In: Papers. RePEc:arx:papers:2205.03852.

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2022Russias Ruble during the onset of the Russian invasion of Ukraine in early 2022: The role of implied volatility and attention. (2022). Pl, Tom'Avs ; Ly, Vstefan. In: Papers. RePEc:arx:papers:2205.09179.

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2022ESG-Valued Portfolio Optimization and Dynamic Asset Pricing. (2022). Rachev, Svetlozar T ; Mittnik, Stefan ; Lindquist, Brent W ; Lauria, Davide. In: Papers. RePEc:arx:papers:2206.02854.

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2022Reducing 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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2022Trading constraints in continuous-time Kyle models. (2022). Larsen, Kasper ; Kwon, Heeyoung ; Choi, Jin Hyuk. In: Papers. RePEc:arx:papers:2206.08117.

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2022Increasing countries financial resilience through global catastrophe risk pooling. (2022). Bresch, David N ; Martius, Olivia ; Meiler, Simona ; Strobl, Eric ; Ciullo, Alessio. In: Papers. RePEc:arx:papers:2206.13895.

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

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2022Most claimed statistical findings in cross-sectional return predictability are likely true. (2022). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2206.15365.

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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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2022Quantitative Stock Investment by Routing Uncertainty-Aware Trading Experts: A Multi-Task Learning Approach. (2022). An, BO ; Wang, Rundong ; Sun, Shuo. In: Papers. RePEc:arx:papers:2207.07578.

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2022The Impact of Retail Investors Sentiment on Conditional Volatility of Stocks and Bonds. (2022). Kedar-Levy, Haim ; Hadad, Elroi. In: Papers. RePEc:arx:papers:2208.01538.

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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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2022Systemic Risk of Optioned Portfolios: Controllability and Optimization. (2022). Ma, Jiali ; Cui, Xueting ; Zhu, Shushang ; Pang, Xiaochuan. In: Papers. RePEc:arx:papers:2209.04685.

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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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2022Institutional ownership and liquidity commonality: evidence from Australia. (2022). Wu, Winston ; Elliott, Robert ; Bradrania, Reza. In: Papers. RePEc:arx:papers:2211.03287.

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2022Gambling on Momentum. (2022). de Angelis, Luca ; Singleton, Carl ; Deutscher, Christian ; Otting, Marius. In: Papers. RePEc:arx:papers:2211.06052.

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2022Smoothing volatility targeting. (2022). Bianco, Nicolas ; Bianchi, Daniele ; Bernardi, Mauro. In: Papers. RePEc:arx:papers:2212.07288.

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2022Systemic 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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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]		article66
2007Liquidity and Risk Management.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 66		paper
2007Slow Moving Capital In: American Economic Review.
[Full Text][Citation analysis]		article171
2007Slow Moving Capital.(2007) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 171		paper
2007Slow Moving Capital.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 171		paper
2011How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]		article586
2007How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 586		paper
2003Modeling Sovereign Yield Spreads: A Case Study of Russian Debt In: Journal of Finance.
[Full Text][Citation analysis]		article186
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 another version. Agregated cites: 141		paper
2004Predatory Trading.(2004) In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 141		paper
2004Predatory Trading.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 141		paper
2013Value and Momentum Everywhere In: Journal of Finance.
[Full Text][Citation analysis]		article692
2013Dynamic Trading with Predictable Returns and Transaction Costs In: Journal of Finance.
[Full Text][Citation analysis]		article145
2009Dynamic Trading with Predictable Returns and Transaction Costs.(2009) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 145		paper
2009Dynamic Trading with Predictable Returns and Transaction Costs.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 145		paper
2018Efficiently Inefficient Markets for Assets and Asset Management In: Journal of Finance.
[Full Text][Citation analysis]		article46
2018Efficiently Inefficient Markets for Assets and Asset Management.(2018) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 46		paper
2015Efficiently Inefficient Markets for Assets and Asset Management.(2015) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 46		paper
2012Betting Against Beta In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper507
2014Betting against beta.(2014) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 507		article
2010Betting Against Beta.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 507		paper
2020Principal Portfolios In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2020Principal Portfolios.(2020) 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]		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.
[Full Text][Citation analysis]		paper7
2019Generalized recovery.(2019) In: Journal of Financial Economics.
[Full Text][Citation analysis]
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2016Generalized Recovery.(2016) In: 2016 Meeting Papers.
[Full Text][Citation analysis]
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2018Size Matters, if You Control Your Junk In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper35
2018Size matters, if you control your junk.(2018) In: Journal of Financial Economics.
[Full Text][Citation analysis]
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2018Deep Value In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2018Betting Against Correlation: Testing Theories of the Low-Risk Effect In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper22
2020Betting against correlation: Testing theories of the low-risk effect.(2020) In: Journal of Financial Economics.
[Full Text][Citation analysis]
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2018Risk Everywhere: Modeling and Managing Volatility In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper98
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.
[Full Text][Citation analysis]		paper1096
2004Asset Pricing with Liquidity Risk.(2004) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 1096		paper
2005Asset pricing with liquidity risk.(2005) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1096		article
2004Asset Pricing with Liquidity Risk.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1096		paper
2005Demand-Based Option Pricing In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper225
2005Demand-Based Option Pricing.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 225		paper
2009Demand-Based Option Pricing.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 225		article
2006Valuation in Over-the-Counter Markets In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper190
2006Valuation in Over-the-Counter Markets.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 190		paper
2007Valuation in Over-the-Counter Markets.(2007) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 190		article
2007Market Liquidity and Funding Liquidity In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper2219
2007Market liquidity and funding liquidity.(2007) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2219		paper
2007Market Liquidity and Funding Liquidity.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2219		paper
2009Market Liquidity and Funding Liquidity.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2219		article
2009When Everyone Runs for the Exit In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper51
2009When Everyone Runs for the Exit.(2009) In: International Journal of Central Banking.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51		article
2009When Everyone Runs for the Exit.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51		paper
2010Two Monetary Tools: Interest Rates and Haircuts In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper90
2011Two Monetary Tools: Interest Rates and Haircuts.(2011) In: NBER Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 90		chapter
2010Two Monetary Tools: Interest Rates and Haircuts.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 90		paper
2010Two Monetary Tools: Interest-Rates and Haircuts.(2010) In: 2010 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 90		paper
2012Measuring Systemic Risk In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper911
2010Measuring systemic risk.(2010) In: Working Papers (Old Series).
[Full Text][Citation analysis]
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2017Measuring Systemic Risk.(2017) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 911		article
2013Buffett’s Alpha In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper1
2013Buffetts Alpha.(2013) In: NBER Working Papers.
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2013Carry In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
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.
[Citation analysis]		book0
2013Market Liquidity.(2013) In: Cambridge Books.
[Citation analysis]
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2011Monitoring Leverage In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
2012Monitoring Leverage.(2012) In: NBER Chapters.
[Full Text][Citation analysis]
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2005Over-the-Counter Markets In: Econometrica.
[Full Text][Citation analysis]		article339
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.
[Citation analysis]		paper5
2016Dynamic portfolio choice with frictions In: Journal of Economic Theory.
[Full Text][Citation analysis]		article55
2012Time series momentum In: Journal of Financial Economics.
[Full Text][Citation analysis]		article449
2021Responsible investing: The ESG-efficient frontier In: Journal of Financial Economics.
[Full Text][Citation analysis]		article93
2002Securities lending, shorting, and pricing In: Journal of Financial Economics.
[Full Text][Citation analysis]		article233
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]		chapter585
2008Carry Trades and Currency Crashes.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
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.() In: .
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2011Margin-Based Asset Pricing and Deviations from the Law of One Price In: NBER Working Papers.
[Full Text][Citation analysis]		paper259
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.
[Full Text][Citation analysis]		paper6
2022Embedded Leverage.(2022) In: The Review of Asset Pricing Studies.
[Full Text][Citation analysis]
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2021Is There A Replication Crisis In Finance? 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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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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2015Introduction In: Introductory Chapters.
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2015Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined In: Economics Books.
[Citation analysis]		book27
2019Quality minus junk In: Review of Accounting Studies.
[Full Text][Citation analysis]		article32
2013TAXING SYSTEMIC RISK In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter5

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