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

10048

Citations

RESEARCH PRODUCTION:

32

Articles

52

Papers

3

Books

6

Chapters

RESEARCH ACTIVITY:

   20 years (2002 - 2022). See details.
   Cites by year: 502
   Journals where Lasse Heje Pedersen has often published
   Relations with other researchers
   Recent citing documents: 1108.    Total self citations: 47 (0.47 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe174
   Updated: 2023-11-04    RAS profile: 2022-08-04    
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Relations with other researchers

Works with:

Lando, David (2)

Bollerslev, Tim (2)

Gormsen, Niels (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 (52)

Sarno, Lucio (47)

Schrimpf, Andreas (46)

Acharya, Viral (46)

Shin, Hyun Song (45)

Pelizzon, Loriana (38)

Weill, Pierre-Olivier (38)

Li, Youwei (35)

Cites to:

French, Kenneth (23)

Shleifer, Andrei (21)

Fama, Eugene (18)

Acharya, Viral (18)

Amihud, Yakov (16)

Vayanos, Dimitri (15)

Stambaugh, Robert (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 (2023 and 2022)

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

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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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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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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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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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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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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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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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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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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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2022Stock 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.

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2022Asymmetric Systemic Risk. (2022). Silva Buston, Consuelo ; Raykov, Radoslav ; Silva-Buston, Consuelo. In: Staff Working Papers. RePEc:bca:bocawp:22-19.

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2022The Financial Origins of Non-fundamental Risk. (2022). Singh, Sanjay ; Dogra, Keshav ; Acharya, Sushant. In: Staff Working Papers. RePEc:bca:bocawp:22-4.

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2022Lending Relationships and Currency Hedging. (2022). Araujo, Gustavo ; Oliveira, Raquel F ; Schiozer, Rafael ; Leo, Sergio . In: Working Papers Series. RePEc:bcb:wpaper:565.

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2022The 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.

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2022Integrating the carbon footprint into the construction of corporate bond portfolios. (2022). Rodriguez, Emilio ; Bajo, Mario. In: Working Papers. RePEc:bde:wpaper:2226.

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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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2022Issuing 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.

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2022The Rising Interconnectedness of the Insurance Sector. (2022). Jourde, Tristan. In: Working papers. RePEc:bfr:banfra:857.

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2022Sovereign Debt and International Trade. (2022). Serfaty, Charles. In: Working papers. RePEc:bfr:banfra:901.

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2022The 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.

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2022Information governance in sustainable finance. (2022). Packer, Frank ; Aramonte, Sirio. In: BIS Papers. RePEc:bis:bisbps:132.

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2022Deconstructing 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.

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2022Emerging market bond flows and exchange rate returns. (2022). Valente, Giorgio ; Hordahl, Peter. In: BIS Working Papers. RePEc:bis:biswps:1042.

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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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2022Beating 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.

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2022Assessing 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.

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2022Institutional 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.

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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]		article174
2007Slow Moving Capital.(2007) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 174		paper
2007Slow Moving Capital.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 174		paper
2011How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]		article595
2007How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 595		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 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]		article708
2013Dynamic Trading with Predictable Returns and Transaction Costs In: Journal of Finance.
[Full Text][Citation analysis]		article152
2009Dynamic 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
2009Dynamic 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
2018Efficiently Inefficient Markets for Assets and Asset Management In: Journal of Finance.
[Full Text][Citation analysis]		article49
2018Efficiently 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
2015Efficiently 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
2012Betting Against Beta In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper526
2014Betting against beta.(2014) In: Journal of Financial Economics.
[Full Text][Citation analysis]
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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.
[Full Text][Citation analysis]		paper0
2020Principal Portfolios.(2020) In: NBER Working Papers.
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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.
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2018Generalized Recovery In: CEPR Discussion Papers.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper35
2018Size matters, if you control your junk.(2018) In: Journal of Financial Economics.
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2018Deep Value In: CEPR Discussion Papers.
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2018Betting Against Correlation: Testing Theories of the Low-Risk Effect In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper27
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.
[Full Text][Citation analysis]		paper100
2018Risk Everywhere: Modeling and Managing Volatility.(2018) In: Review of Financial Studies.
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2003Asset Pricing with Liquidity Risk In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper1108
2004Asset Pricing with Liquidity Risk.(2004) In: CEPR Discussion Papers.
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2005Asset pricing with liquidity risk.(2005) In: Journal of Financial Economics.
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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.
[Full Text][Citation analysis]		paper225
2005Demand-Based Option Pricing.(2005) In: NBER Working Papers.
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2009Demand-Based Option Pricing.(2009) In: Review of Financial Studies.
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2006Valuation in Over-the-Counter Markets In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper195
2006Valuation in Over-the-Counter Markets.(2006) In: NBER Working Papers.
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2007Valuation in Over-the-Counter Markets.(2007) In: Review of Financial Studies.
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2007Market Liquidity and Funding Liquidity In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper2246
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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2009Market Liquidity and Funding Liquidity.(2009) In: Review of Financial Studies.
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2009When Everyone Runs for the Exit In: CEPR Discussion Papers.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper92
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.
[Full Text][Citation analysis]		paper926
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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2012Monitoring Leverage.(2012) In: NBER Chapters.
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2005Over-the-Counter Markets In: Econometrica.
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2004Over-the-Counter Markets.(2004) In: NBER Working Papers.
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2004Valuation in Dynamic Bargaining Markets In: Econometric Society 2004 North American Winter Meetings.
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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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2021Responsible investing: The ESG-efficient frontier In: Journal of Financial Economics.
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2002Securities lending, shorting, and pricing In: Journal of Financial Economics.
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2012How to Calculate Systemic Risk Surcharges In: NBER Chapters.
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2009Carry Trades and Currency Crashes In: NBER Chapters.
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2008Carry Trades and Currency Crashes.(2008) In: NBER Working Papers.
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2011Margin-Based Asset Pricing and Deviations from the Law of One Price In: NBER Working Papers.
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2011Margin-based Asset Pricing and Deviations from the Law of One Price.(2011) In: Review of Financial Studies.
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2012Embedded Leverage In: NBER Working Papers.
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2022Embedded Leverage.(2022) In: The Review of Asset Pricing Studies.
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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.
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2019Quality minus junk In: Review of Accounting Studies.
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2013TAXING SYSTEMIC RISK In: World Scientific Book Chapters.
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