28
H index
32
i10 index
10048
Citations
Copenhagen Business School (75% share) | 28 H index 32 i10 index 10048 Citations RESEARCH PRODUCTION: 32 Articles 52 Papers 3 Books 6 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Financial Economics | 10 |
Review of Financial Studies | 7 |
Journal of Finance | 5 |
American Economic Review | 2 |
Working Papers Series with more than one paper published | # docs |
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NBER Working Papers / National Bureau of Economic Research, Inc | 21 |
CEPR Discussion Papers / C.E.P.R. Discussion Papers | 20 |
Swiss Finance Institute Research Paper Series / Swiss Finance Institute | 2 |
Econometric Society 2004 North American Winter Meetings / Econometric Society | 2 |
Year | Title of citing document | |
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2022 | The Prior Adaptive Group Lasso and the Factor Zoo. (2022). Bertelsen, Kristoffer Pons. In: CREATES Research Papers. RePEc:aah:create:2022-05. Full description at Econpapers || Download paper | |
2023 | Exchange 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. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2022 | Economic 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. Full description at Econpapers || Download paper | |
2022 | Investor-Driven Corporate Finance: Evidence from Insurance Markets. (2022). Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:144. Full description at Econpapers || Download paper | |
2022 | Imperfect Competition in Derivatives Markets. (2022). Brinkmann, Christina. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:153. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Analysis 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. Full description at Econpapers || Download paper | |
2022 | When is the Order to Trade Ratio fee effective?. (2022). Thomas, Susan ; Panchapagesan, Venkatesh ; Aggarwal, Nidhi. In: Working Papers. RePEc:anf:wpaper:11. Full description at Econpapers || Download paper | |
2022 | When is the Order to Trade fee effective?. (2021). Thomas, Susan ; Panchapagesan, Venkatesh ; Aggarwal, Nidhi. In: Working Papers. RePEc:anf:wpaper:8. Full description at Econpapers || Download paper | |
2022 | Out 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. Full description at Econpapers || Download paper | |
2022 | Short of Capital: Stock Market Implications of Short Sellers’ Losses. (2022). Verwijmeren, Patrick ; Sotes-Paladino, Juan ; Gargano, Antonio. In: Working Papers. RePEc:aoz:wpaper:116. Full description at Econpapers || Download paper | |
2022 | Sovereign Debt. (2022). Zettelmeyer, Jeromin ; Roldan, Francisco ; Roch, Francisco ; Martinez, Leonardo. In: Working Papers. RePEc:aoz:wpaper:167. Full description at Econpapers || Download paper | |
2022 | Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274. Full description at Econpapers || Download paper | |
2022 | News Co-Occurrence, Attention Spillover and Return Predictability. (2018). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715. Full description at Econpapers || Download paper | |
2022 | A Time-Varying Network for Cryptocurrencies. (2021). Tao, Yubo ; Hardle, Wolfgang Karl ; Guo, LI. In: Papers. RePEc:arx:papers:1802.03708. Full description at Econpapers || Download paper | |
2022 | Weekly 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. Full description at Econpapers || Download paper | |
2022 | Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact. (2020). Voss, Moritz ; Neuman, Eyal. In: Papers. RePEc:arx:papers:2002.09549. Full description at Econpapers || Download paper | |
2023 | Bitcoin Trading is Irrational! An Analysis of the Disposition Effect in Bitcoin. (2020). Haslhofer, Bernhard ; Schatzmann, Jurgen E. In: Papers. RePEc:arx:papers:2010.12415. Full description at Econpapers || Download paper | |
2022 | Integrating prediction in mean-variance portfolio optimization. (2021). Kwon, Roy H ; Butler, Andrew. In: Papers. RePEc:arx:papers:2102.09287. Full description at Econpapers || Download paper | |
2022 | Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2104.10673. Full description at Econpapers || Download paper | |
2023 | An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975. Full description at Econpapers || Download paper | |
2023 | Deep Reinforcement Trading with Predictable Returns. (2021). Brini, Alessio ; Tantari, Daniele. In: Papers. RePEc:arx:papers:2104.14683. Full description at Econpapers || Download paper | |
2022 | Enhancing 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. Full description at Econpapers || Download paper | |
2022 | The Inelastic Market Hypothesis: A Microstructural Interpretation. (2021). Bouchaud, Jean-Philippe. In: Papers. RePEc:arx:papers:2108.00242. Full description at Econpapers || Download paper | |
2022 | Welfare implications of noise traders. (2021). Weston, Kim ; Choi, Jin Hyuk. In: Papers. RePEc:arx:papers:2108.00973. Full description at Econpapers || Download paper | |
2022 | Deep Learning Algorithms for Hedging with Frictions. (2021). Zhang, Zhanhao ; Xu, Daran ; Shi, Xiaofei. In: Papers. RePEc:arx:papers:2111.01931. Full description at Econpapers || Download paper | |
2022 | Deep differentiable reinforcement learning and optimal trading. (2021). Jaisson, Thibault. In: Papers. RePEc:arx:papers:2112.02944. Full description at Econpapers || Download paper | |
2023 | Closed-Loop Nash Competition for Liquidity. (2021). Neuman, Eyal ; Muhle-Karbe, Johannes ; Micheli, Alessandro. In: Papers. RePEc:arx:papers:2112.02961. Full description at Econpapers || Download paper | |
2022 | Data-driven integration of regularized mean-variance portfolios. (2021). Kwon, Roy H ; Butler, Andrew. In: Papers. RePEc:arx:papers:2112.07016. Full description at Econpapers || Download paper | |
2022 | NumHTML: 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. Full description at Econpapers || Download paper | |
2022 | Optimal trend following portfolios. (2022). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2201.06635. Full description at Econpapers || Download paper | |
2022 | Decomposing LIBOR in Transition: Evidence from the Futures Markets. (2022). Skov, Jacob Bjerre ; Skovmand, David. In: Papers. RePEc:arx:papers:2201.06930. Full description at Econpapers || Download paper | |
2022 | DeepScalper: 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. Full description at Econpapers || Download paper | |
2022 | Derivatives 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. Full description at Econpapers || Download paper | |
2023 | Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962. Full description at Econpapers || Download paper | |
2022 | Weighted-average quantile regression. (2022). Chetverikov, Denis ; Tsyvinski, Aleh ; Liu, Yukun. In: Papers. RePEc:arx:papers:2203.03032. Full description at Econpapers || Download paper | |
2022 | Vulnerability-CoVaR: Investigating the Crypto-market. (2022). Okhrin, Ostap ; Singh, Abhay Kumar ; Waltz, Martin. In: Papers. RePEc:arx:papers:2203.10777. Full description at Econpapers || Download paper | |
2022 | The 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. Full description at Econpapers || Download paper | |
2022 | A Model of Financial Market Control. (2022). Ohashi, Yoshihiro . In: Papers. RePEc:arx:papers:2205.01260. Full description at Econpapers || Download paper | |
2022 | Randomized geometric tools for anomaly detection in stock markets. (2022). Tsigaridas, Elias ; Fisikopoulos, Vissarion ; Chalkis, Apostolos ; Bachelard, Cyril. In: Papers. RePEc:arx:papers:2205.03852. Full description at Econpapers || Download paper | |
2022 | Russias 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. Full description at Econpapers || Download paper | |
2022 | ESG-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. Full description at Econpapers || Download paper | |
2023 | Reducing 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. Full description at Econpapers || Download paper | |
2022 | Trading constraints in continuous-time Kyle models. (2022). Larsen, Kasper ; Kwon, Heeyoung ; Choi, Jin Hyuk. In: Papers. RePEc:arx:papers:2206.08117. Full description at Econpapers || Download paper | |
2022 | Increasing 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. Full description at Econpapers || Download paper | |
2023 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper | |
2022 | Most claimed statistical findings in cross-sectional return predictability are likely true. (2022). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2206.15365. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2022 | Quantitative 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. Full description at Econpapers || Download paper | |
2022 | The 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. Full description at Econpapers || Download paper | |
2023 | Beta-Sorted Portfolios. (2022). Wang, Weining ; Crump, Richard K ; Cattaneo, Matias D. In: Papers. RePEc:arx:papers:2208.10974. Full description at Econpapers || Download paper | |
2022 | Systemic Risk of Optioned Portfolios: Controllability and Optimization. (2022). Ma, Jiali ; Cui, Xueting ; Zhu, Shushang ; Pang, Xiaochuan. In: Papers. RePEc:arx:papers:2209.04685. Full description at Econpapers || Download paper | |
2023 | Fast and Slow Optimal Trading with Exogenous Information. (2022). Neuman, Eyal ; Micheli, Alessandro. In: Papers. RePEc:arx:papers:2210.01901. Full description at Econpapers || Download paper | |
2022 | Institutional ownership and liquidity commonality: evidence from Australia. (2022). Wu, Winston ; Elliott, Robert ; Bradrania, Reza. In: Papers. RePEc:arx:papers:2211.03287. Full description at Econpapers || Download paper | |
2022 | Gambling on Momentum. (2022). de Angelis, Luca ; Singleton, Carl ; Deutscher, Christian ; Otting, Marius. In: Papers. RePEc:arx:papers:2211.06052. Full description at Econpapers || Download paper | |
2022 | Smoothing volatility targeting. (2022). Bianco, Nicolas ; Bianchi, Daniele ; Bernardi, Mauro. In: Papers. RePEc:arx:papers:2212.07288. Full description at Econpapers || Download paper | |
2023 | Systemic robustness: a mean-field particle system approach. (2022). Bayraktar, Erhan ; Zhang, Yuming Paul ; Tang, Wenpin ; Guo, Gaoyue. In: Papers. RePEc:arx:papers:2212.08518. Full description at Econpapers || Download paper | |
2023 | Peer-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. Full description at Econpapers || Download paper | |
2023 | View 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. Full description at Econpapers || Download paper | |
2023 | Long-term option pricing with a lower reflecting barrier. (2023). Thomas, Guy R. In: Papers. RePEc:arx:papers:2302.05808. Full description at Econpapers || Download paper | |
2023 | Bayesian Optimization of ESG Financial Investments. (2023). Vaca, Maria Coronado ; Piris, Gabriel Gonz'Alez ; Garrido-Merch, Eduardo C. In: Papers. RePEc:arx:papers:2303.01485. Full description at Econpapers || Download paper | |
2023 | A Unified Framework for Fast Large-Scale Portfolio Optimization. (2023). Safikhani, Abolfazl ; Polak, Pawel ; Shah, Ronakdilip ; Deng, Weichuan. In: Papers. RePEc:arx:papers:2303.12751. Full description at Econpapers || Download paper | |
2023 | Efficient 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. Full description at Econpapers || Download paper | |
2023 | The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349. Full description at Econpapers || Download paper | |
2023 | Green 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Constructing Time-Series Momentum Portfolios with Deep Multi-Task Learning. (2023). Herremans, Dorien ; Ong, Joel. In: Papers. RePEc:arx:papers:2306.13661. Full description at Econpapers || Download paper | |
2023 | Liquidity 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. Full description at Econpapers || Download paper | |
2023 | Deep 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. Full description at Econpapers || Download paper | |
2023 | Multi-Factor Inception: What to Do with All of These Features?. (2023). Zohren, Stefan ; Liu, Tom. In: Papers. RePEc:arx:papers:2307.13832. Full description at Econpapers || Download paper | |
2023 | Network Momentum across Asset Classes. (2023). Zohren, Stefan ; Dong, Xiaowen ; Roberts, Stephen ; Pu, Xingyue. In: Papers. RePEc:arx:papers:2308.11294. Full description at Econpapers || Download paper | |
2023 | New general dependence measures: construction, estimation and application to high-frequency stock returns. (2023). Leeuwenkamp, Aleksy ; Hu, Wentao. In: Papers. RePEc:arx:papers:2309.00025. Full description at Econpapers || Download paper | |
2023 | ESG-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. Full description at Econpapers || Download paper | |
2022 | Stock Indices as Indicators of Market Efficiency and Interaction. (2022). Blahun, Semen ; Dmytryshyn, Lesia. In: Economic Studies journal. RePEc:bas:econst:y:2022:i:8:p:87-106. Full description at Econpapers || Download paper | |
2022 | Asymmetric Systemic Risk. (2022). Silva Buston, Consuelo ; Raykov, Radoslav ; Silva-Buston, Consuelo. In: Staff Working Papers. RePEc:bca:bocawp:22-19. Full description at Econpapers || Download paper | |
2022 | The Financial Origins of Non-fundamental Risk. (2022). Singh, Sanjay ; Dogra, Keshav ; Acharya, Sushant. In: Staff Working Papers. RePEc:bca:bocawp:22-4. Full description at Econpapers || Download paper | |
2022 | Lending Relationships and Currency Hedging. (2022). Araujo, Gustavo ; Oliveira, Raquel F ; Schiozer, Rafael ; Leo, Sergio . In: Working Papers Series. RePEc:bcb:wpaper:565. Full description at Econpapers || Download paper | |
2022 | The role of a green factor in stock prices. When Fama & French go green. (2022). Gonzalez, Clara I ; Gimeno, Ricardo. In: Working Papers. RePEc:bde:wpaper:2207. Full description at Econpapers || Download paper | |
2022 | Integrating the carbon footprint into the construction of corporate bond portfolios. (2022). Rodriguez, Emilio ; Bajo, Mario. In: Working Papers. RePEc:bde:wpaper:2226. Full description at Econpapers || Download paper | |
2023 | Investor 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. Full description at Econpapers || Download paper | |
2023 | Investigating 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. Full description at Econpapers || Download paper | |
2022 | Issuing bonds during the Covid-19 pandemic: is there an ESG premium?. (2022). Ferriani, Fabrizio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1392_22. Full description at Econpapers || Download paper | |
2022 | The Rising Interconnectedness of the Insurance Sector. (2022). Jourde, Tristan. In: Working papers. RePEc:bfr:banfra:857. Full description at Econpapers || Download paper | |
2022 | Sovereign Debt and International Trade. (2022). Serfaty, Charles. In: Working papers. RePEc:bfr:banfra:901. Full description at Econpapers || Download paper | |
2022 | The Covid-19 shock and the monetary policy response in Colombia. (2022). Romero, Jose Vicente ; Ospina, Juan Jose ; Vargas-Herrera, Hernando. In: BIS Papers chapters. RePEc:bis:bisbpc:122-06. Full description at Econpapers || Download paper | |
2022 | Information governance in sustainable finance. (2022). Packer, Frank ; Aramonte, Sirio. In: BIS Papers. RePEc:bis:bisbps:132. Full description at Econpapers || Download paper | |
2022 | Deconstructing ESG scores: how to invest with your own criteria. (2022). Jondeau, Eric ; Jegarasasingam, Anandakumar ; Elsenhuber, Ulrike ; Ehlers, Torsten. In: BIS Working Papers. RePEc:bis:biswps:1008. Full description at Econpapers || Download paper | |
2022 | Emerging market bond flows and exchange rate returns. (2022). Valente, Giorgio ; Hordahl, Peter. In: BIS Working Papers. RePEc:bis:biswps:1042. Full description at Econpapers || Download paper | |
2023 | Volume dynamics around FOMC announcements. (2023). Zhu, Sonya. In: BIS Working Papers. RePEc:bis:biswps:1079. Full description at Econpapers || Download paper | |
2023 | Crypto carry. (2023). Schrimpf, Andreas ; Todorov, Karamfil ; Schmeling, Maik. In: BIS Working Papers. RePEc:bis:biswps:1087. Full description at Econpapers || Download paper | |
2023 | To 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. Full description at Econpapers || Download paper | |
2022 | Beating the Average: Equity Premium Variations, Uncertainty, and Liquidity. (2022). Wagner, Niklas ; Kinateder, Harald ; Batten, Jonathan A. In: Abacus. RePEc:bla:abacus:v:58:y:2022:i:3:p:567-588. Full description at Econpapers || Download paper | |
2022 | Assessing the usefulness of daily and monthly asset?pricing factors for Australian equities. (2022). Zhong, Angel ; Gray, Philip. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:1:p:181-211. Full description at Econpapers || Download paper | |
2022 | Institutional ownership and liquidity commonality: evidence from Australia. (2022). Wu, Winston ; Elliott, Robert ; Bradrania, Reza. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:s1:p:1231-1272. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2007 | Liquidity and Risk Management In: American Economic Review. [Full Text][Citation analysis] | article | 66 |
2007 | Liquidity and Risk Management.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 66 | paper | |
2007 | Slow Moving Capital In: American Economic Review. [Full Text][Citation analysis] | article | 174 |
2007 | Slow Moving Capital.(2007) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 174 | paper | |
2007 | Slow Moving Capital.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 174 | paper | |
2011 | How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics. [Full Text][Citation analysis] | article | 595 |
2007 | How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 595 | paper | |
2003 | Modeling Sovereign Yield Spreads: A Case Study of Russian Debt In: Journal of Finance. [Full Text][Citation analysis] | article | 188 |
2005 | Predatory Trading In: Journal of Finance. [Full Text][Citation analysis] | article | 141 |
2004 | Predatory Trading.(2004) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 141 | paper | |
2004 | Predatory Trading.(2004) In: Econometric Society 2004 North American Winter Meetings. [Full Text][Citation analysis] This paper has another version. Agregated cites: 141 | paper | |
2004 | Predatory Trading.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 141 | paper | |
2013 | Value and Momentum Everywhere In: Journal of Finance. [Full Text][Citation analysis] | article | 708 |
2013 | Dynamic Trading with Predictable Returns and Transaction Costs In: Journal of Finance. [Full Text][Citation analysis] | article | 152 |
2009 | Dynamic Trading with Predictable Returns and Transaction Costs.(2009) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 152 | paper | |
2009 | Dynamic Trading with Predictable Returns and Transaction Costs.(2009) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 152 | paper | |
2018 | Efficiently Inefficient Markets for Assets and Asset Management In: Journal of Finance. [Full Text][Citation analysis] | article | 49 |
2018 | Efficiently Inefficient Markets for Assets and Asset Management.(2018) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
2015 | Efficiently Inefficient Markets for Assets and Asset Management.(2015) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
2012 | Betting Against Beta In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 526 |
2014 | Betting against beta.(2014) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 526 | article | |
2010 | Betting Against Beta.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 526 | paper | |
2020 | Principal Portfolios In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2020 | Principal Portfolios.(2020) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2015 | Early Option Exercise: Never Say Never In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 11 |
2016 | Early option exercise: Never say never.(2016) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
2018 | Generalized Recovery In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 8 |
2019 | Generalized recovery.(2019) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
2016 | Generalized Recovery.(2016) In: 2016 Meeting Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2018 | Size Matters, if You Control Your Junk In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 35 |
2018 | Size matters, if you control your junk.(2018) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 35 | article | |
2018 | Deep Value In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2018 | Betting Against Correlation: Testing Theories of the Low-Risk Effect In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 27 |
2020 | Betting against correlation: Testing theories of the low-risk effect.(2020) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | article | |
2018 | Risk Everywhere: Modeling and Managing Volatility In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 100 |
2018 | Risk Everywhere: Modeling and Managing Volatility.(2018) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 100 | article | |
2003 | Asset Pricing with Liquidity Risk In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 1108 |
2004 | Asset Pricing with Liquidity Risk.(2004) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1108 | paper | |
2005 | Asset pricing with liquidity risk.(2005) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1108 | article | |
2004 | Asset Pricing with Liquidity Risk.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1108 | paper | |
2005 | Demand-Based Option Pricing In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 225 |
2005 | Demand-Based Option Pricing.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 225 | paper | |
2009 | Demand-Based Option Pricing.(2009) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 225 | article | |
2006 | Valuation in Over-the-Counter Markets In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 195 |
2006 | Valuation in Over-the-Counter Markets.(2006) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 195 | paper | |
2007 | Valuation in Over-the-Counter Markets.(2007) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 195 | article | |
2007 | Market Liquidity and Funding Liquidity In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 2246 |
2007 | Market liquidity and funding liquidity.(2007) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2246 | paper | |
2007 | Market Liquidity and Funding Liquidity.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2246 | paper | |
2009 | Market Liquidity and Funding Liquidity.(2009) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2246 | article | |
2009 | When Everyone Runs for the Exit In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 52 |
2009 | When Everyone Runs for the Exit.(2009) In: International Journal of Central Banking. [Full Text][Citation analysis] This paper has another version. Agregated cites: 52 | article | |
2009 | When Everyone Runs for the Exit.(2009) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 52 | paper | |
2010 | Two Monetary Tools: Interest Rates and Haircuts In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 92 |
2011 | Two Monetary Tools: Interest Rates and Haircuts.(2011) In: NBER Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 92 | chapter | |
2010 | Two Monetary Tools: Interest Rates and Haircuts.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 92 | paper | |
2010 | Two Monetary Tools: Interest-Rates and Haircuts.(2010) In: 2010 Meeting Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 92 | paper | |
2012 | Measuring Systemic Risk In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 926 |
2010 | Measuring systemic risk.(2010) In: Working Papers (Old Series). [Full Text][Citation analysis] This paper has another version. Agregated cites: 926 | paper | |
2017 | Measuring Systemic Risk.(2017) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 926 | article | |
2013 | Buffett’s Alpha In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2013 | Buffetts Alpha.(2013) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2013 | Carry In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2018 | Carry.(2018) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2013 | Carry.(2013) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2013 | Market Liquidity In: Cambridge Books. [Citation analysis] | book | 0 |
2013 | Market Liquidity.(2013) In: Cambridge Books. [Citation analysis] This paper has another version. Agregated cites: 0 | book | |
2011 | Monitoring Leverage In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2012 | Monitoring Leverage.(2012) In: NBER Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | chapter | |
2005 | Over-the-Counter Markets In: Econometrica. [Full Text][Citation analysis] | article | 350 |
2004 | Over-the-Counter Markets.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 350 | paper | |
2004 | Valuation in Dynamic Bargaining Markets In: Econometric Society 2004 North American Winter Meetings. [Citation analysis] | paper | 5 |
2016 | Dynamic portfolio choice with frictions In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 60 |
2012 | Time series momentum In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 459 |
2021 | Responsible investing: The ESG-efficient frontier In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 106 |
2002 | Securities lending, shorting, and pricing In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 238 |
2012 | How to Calculate Systemic Risk Surcharges In: NBER Chapters. [Full Text][Citation analysis] | chapter | 0 |
2009 | Carry Trades and Currency Crashes In: NBER Chapters. [Full Text][Citation analysis] | chapter | 591 |
2008 | Carry Trades and Currency Crashes.(2008) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 591 | paper | |
.() In: . [Full Text][Citation analysis] This paper has another version. Agregated cites: 591 | paper | ||
2011 | Margin-Based Asset Pricing and Deviations from the Law of One Price In: NBER Working Papers. [Full Text][Citation analysis] | paper | 268 |
2011 | Margin-based Asset Pricing and Deviations from the Law of One Price.(2011) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 268 | article | |
2012 | Embedded Leverage In: NBER Working Papers. [Full Text][Citation analysis] | paper | 6 |
2022 | Embedded Leverage.(2022) In: The Review of Asset Pricing Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
2021 | Is There A Replication Crisis In Finance? In: NBER Working Papers. [Full Text][Citation analysis] | paper | 20 |
2006 | Liquidity and Asset Prices In: Foundations and Trends(R) in Finance. [Full Text][Citation analysis] | article | 216 |
2005 | Liquidity and Asset Prices.(2005) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 216 | paper | |
2019 | Economics with Market Liquidity Risk In: Critical Finance Review. [Full Text][Citation analysis] | article | 5 |
2004 | Adverse Selection and the Required Return In: Review of Financial Studies. [Full Text][Citation analysis] | article | 32 |
2015 | Introduction In: Introductory Chapters. [Full Text][Citation analysis] | chapter | 0 |
2015 | Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined In: Economics Books. [Citation analysis] | book | 28 |
2019 | Quality minus junk In: Review of Accounting Studies. [Full Text][Citation analysis] | article | 32 |
2013 | TAXING SYSTEMIC RISK In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 5 |
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