Lasse Heje Pedersen : Citation Profile

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

30

H index

32

i10 index

11670

Citations

RESEARCH PRODUCTION:

32

Articles

52

Papers

3

Books

6

Chapters

RESEARCH ACTIVITY:

   20 years (2002 - 2022). See details.
   Cites by year: 583
   Journals where Lasse Heje Pedersen has often published
   Relations with other researchers
   Recent citing documents: 1122.    Total self citations: 47 (0.4 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppe174
   Updated: 2025-12-20    RAS profile: 2022-08-04    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Lasse Heje Pedersen.

Is cited by:

Zaremba, Adam (73)

Vayanos, Dimitri (61)

Adrian, Tobias (61)

He, Zhiguo (54)

Sarno, Lucio (51)

Schrimpf, Andreas (47)

Acharya, Viral (46)

Shin, Hyun Song (44)

Weill, Pierre-Olivier (39)

Pelizzon, Loriana (38)

Ranaldo, Angelo (38)

Cites to:

Shleifer, Andrei (25)

French, Kenneth (23)

Fama, Eugene (18)

Acharya, Viral (18)

Amihud, Yakov (16)

Stambaugh, Robert (15)

Vayanos, Dimitri (15)

Campbell, John (14)

Subrahmanyam, Avanidhar (13)

Tirole, Jean (12)

Pastor, Lubos (11)

Main data

Where Lasse Heje Pedersen has published?

Journals with more than one article published# docs
Journal of Financial Economics10
The 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 (2025 and 2024)

YearTitle of citing document
2025ESG Reporting and Systemic Risk: Evidence from European Markets. (2025). Filip, Radu Ion ; Cosoveanu, Georgiana ; Tigu, Gabriela ; Hurduzeu, Gheorghe ; Lupu, Iulia. In: The AMFITEATRU ECONOMIC journal. RePEc:aes:amfeco:v:27:y:2025:i:70:p:869.

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2024Crowding-out, home bias and financial stability in the aftermath of the sovereign debt crisis. (2024). Kubinschi, Matei ; Rdulescu, Eugen ; Zaharia-Rotaru, Alina ; Alupoaiei, Alexie. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxxi:y:2024:i:2(639):p:107-128.

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2024Option Pricing Revisited: The Role of Price Volatility and Dynamics. (2024). Wang, Linjie ; Li, Jian ; Chavas, Jean-Paul. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343544.

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2024Option Pricing Revisited: The Role of Price Volatility and Dynamics. (2024). Wang, Linjie ; Chavas, Jean-Paul ; Li, Jian. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea24:343544.

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2024Impact of Security Threats on Investment in Nigeria. (2024). Ijirshar, Victor ; Ogoda, Samuel Igwe ; Okpe, Isa Jibrin ; Ibrahim, Amina Shehu. In: CECCAR Business Review. RePEc:ahd:journl:v:5:y:2024:i:1:p:59-72.

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2024The effect of stock splits on liquidity in a dynamic model. (2024). LINTON, OLIVER ; Wang, Linqi ; Hafner, Christian. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024007.

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2025The Alchemy of Multibagger Stocks: An empirical investigation of factors that drive outperformance in the stock market. (2025). Yartseva, Anna. In: CAFE Working Papers. RePEc:akf:cafewp:33.

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2024Talk to Fed: a Big Dive into FOMC Transcripts. (2024). Aromi, J. Daniel ; Heymann, Daniel. In: Working Papers. RePEc:aoz:wpaper:323.

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2025Joint News, Attention Spillover,and Market Returns. (2022). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715.

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2024An Empirical Assessment of Characteristics and Optimal Portfolios. (2024). Zhang, Huacheng ; Lamoureux, Christopher G. In: Papers. RePEc:arx:papers:2104.12975.

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2025Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2025Most claimed statistical findings in cross-sectional return predictability are likely true. (2025). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2206.15365.

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2024Beta-Sorted Portfolios. (2024). Crump, Richard ; Cattaneo, Matias ; Wang, Weining. In: Papers. RePEc:arx:papers:2208.10974.

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2025Does Peer-Reviewed Research Help Predict Stock Returns?. (2025). Zimmermann, Tom ; Lopez-Lira, Alejandro ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2212.10317.

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2024Liquidity Premium, Liquidity-Adjusted Return and Volatility, and Extreme Liquidity. (2024). Deng, QI. In: Papers. RePEc:arx:papers:2306.15807.

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2025ESG-coherent risk measures for sustainable investing. (2025). Dentcheva, Darinka ; Rachev, Svetlozar T ; Giacometti, Rosella ; Torri, Gabriele ; Lindquist, Brent W. In: Papers. RePEc:arx:papers:2309.05866.

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2025Measuring risk contagion in financial networks with CoVaR. (2024). Fasen-Hartmann, Vicky ; Das, Bikramjit. In: Papers. RePEc:arx:papers:2309.15511.

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2025Unwinding Stochastic Order Flow: When to Warehouse Trades. (2023). Nutz, Marcel ; Zhao, Long ; Webster, Kevin. In: Papers. RePEc:arx:papers:2310.14144.

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2025Regressions under Adverse Conditions. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327.

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2024Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion. (2024). Wunderlich, Ralf ; Lamert, Kerstin ; Auer, Benjamin R. In: Papers. RePEc:arx:papers:2311.15635.

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2024Optimal Portfolio Choice with Cross-Impact Propagators. (2024). Tuschmann, Sturmius ; Neuman, Eyal ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2403.10273.

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2024Asset management with an ESG mandate. (2024). Azzone, Michele ; Barucci, Emilio ; Stocco, Davide. In: Papers. RePEc:arx:papers:2403.11622.

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2024Factor risk measures. (2024). Liu, Peng ; Assa, Hirbod. In: Papers. RePEc:arx:papers:2404.08475.

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2024Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification. (2024). Zhao, Yimiao ; Liu, Yang ; Geng, Bingzhen. In: Papers. RePEc:arx:papers:2404.18029.

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2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Hurlin, Christophe ; Lu, Yang. In: Papers. RePEc:arx:papers:2405.02012.

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2024Trade execution games in a Markovian environment. (2024). Ohnishi, Masamitsu ; Shimoshimizu, Makoto. In: Papers. RePEc:arx:papers:2405.07184.

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2024On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures. (2024). Zhang, Yiying ; Pu, Tong. In: Papers. RePEc:arx:papers:2405.07549.

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2024Financial Interactions and Capital Accumulation. (2024). Lotz, Aïleen ; Gosselin, Pierre. In: Papers. RePEc:arx:papers:2405.10338.

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2024Dynamic Asset Pricing in a Unified Bachelier-Black-Scholes-Merton Model. (2024). Rachev, Svetlozar T ; Gnawali, Jagdish ; Fabozzi, Frank J ; Lindquist, Brent W. In: Papers. RePEc:arx:papers:2405.12479.

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2024Long Time Behavior of Optimal Liquidation Problems. (2024). Cheng, Xinman ; Xia, Xiaonyu ; Fu, Guanxing. In: Papers. RePEc:arx:papers:2405.14177.

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2024Continuous-time Equilibrium Returns in Markets with Price Impact and Transaction Costs. (2024). Anthropelos, Michail ; Stefanakis, Constantinos. In: Papers. RePEc:arx:papers:2405.14418.

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2024HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning. (2024). Chassot, Jonathan ; Audrino, Francesco. In: Papers. RePEc:arx:papers:2406.08041.

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2024Heterogeneous Beliefs Model of Stock Market Predictability. (2024). Park, Jiho. In: Papers. RePEc:arx:papers:2406.08448.

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2025Liquidity Adjustment in Multivariate Volatility Modeling: Evidence from Portfolios of Cryptocurrencies and US Stocks. (2025). Zhou, Zhong-Guo ; Deng, QI. In: Papers. RePEc:arx:papers:2407.00813.

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2024Unwinding Toxic Flow with Partial Information. (2024). Boyce, Robert ; Neuman, Eyal ; Barzykin, Alexander. In: Papers. RePEc:arx:papers:2407.04510.

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2024No Questions Asked: Effects of Transparency on Stablecoin Liquidity During the Collapse of Silicon Valley Bank. (2024). Xu, Jiahua ; Cruz, Walter Hernandez ; Tasca, Paolo ; Campajola, Carlo. In: Papers. RePEc:arx:papers:2407.11716.

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2025Unified Asymptotics For Investment Under Illiquidity: Transaction Costs And Search Frictions. (2024). Gang, Tae Ung ; Choi, Jinhyuk. In: Papers. RePEc:arx:papers:2407.13547.

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2025The Structure of Financial Equity Research Reports -- Identification of the Most Frequently Asked Questions in Financial Analyst Reports to Automate Equity Research Using Llama 3 and GPT-4. (2024). Handschuh, Siegfried ; Sporer, Jan ; Pop, Adria. In: Papers. RePEc:arx:papers:2407.18327.

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2024Large Language Model Agent in Financial Trading: A Survey. (2024). Li, Yinheng ; Wang, Junhao ; Chen, Hang ; Ding, Han. In: Papers. RePEc:arx:papers:2408.06361.

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2025The Efficient Tail Hypothesis: An Extreme Value Perspective on Market Efficiency. (2025). Huser, Raphael ; Jiang, Junshu ; Richards, Jordan ; Bolin, David. In: Papers. RePEc:arx:papers:2408.06661.

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2025Predicting the distributions of stock returns around the globe in the era of big data and learning. (2024). Baruník, Jozef ; Tobek, Ondrej ; Hronec, Martin. In: Papers. RePEc:arx:papers:2408.07497.

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2025EUR-USD Exchange Rate Forecasting Based on Information Fusion with Large Language Models and Deep Learning Methods. (2024). Jiang, Zixiao ; Zhao, Xuanze ; Abdullah, Shamsul Nahar ; Ding, Hongcheng ; Dewi, Deshinta Arrova. In: Papers. RePEc:arx:papers:2408.13214.

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2024Betting Against (Bad) Beta. (2024). Herculano, Miguel C. In: Papers. RePEc:arx:papers:2409.00416.

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2024Contract Structure and Risk Aversion in Longevity Risk Transfers. (2024). Zhang, Yuanyuan ; Li, Hong ; Landriault, David. In: Papers. RePEc:arx:papers:2409.08914.

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2024Systemic Risk Asymptotics in a Renewal Model with Multiple Business Lines and Heterogeneous Claims. (2024). Wan, Hongfu ; Liu, Yang ; Geng, Bingzhen. In: Papers. RePEc:arx:papers:2410.00158.

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2024Persistence-Robust Break Detection in Predictive Quantile and CoVaR Regressions. (2024). Hoga, Yannick. In: Papers. RePEc:arx:papers:2410.05861.

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2025Graph Signal Processing for Global Stock Market Realized Volatility Forecasting. (2025). Wang, Chao ; Gao, Junbin ; Chi, Zhengyang. In: Papers. RePEc:arx:papers:2410.22706.

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2025Liquidity Jump, Liquidity Diffusion, and Crypto Wash Trading. (2025). Zhou, Zhong-Guo ; Deng, QI. In: Papers. RePEc:arx:papers:2411.05803.

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2025On multivariate contribution measures of systemic risk with applications in cryptocurrency market. (2025). Zhang, Yiying ; Pu, Tong ; Li, Junxue ; Wen, Limin. In: Papers. RePEc:arx:papers:2411.13384.

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2025A model of strategic sustainable investment. (2025). Tankov, Peter ; Graciani, Caio C'Esar ; de Angelis, Tiziano. In: Papers. RePEc:arx:papers:2412.00986.

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2025LLM-Powered Multi-Agent System for Automated Crypto Portfolio Management. (2025). Xu, Jiahua ; Liu, Yang ; Tasca, Paolo ; Feng, Yebo ; Luo, Yichen. In: Papers. RePEc:arx:papers:2501.00826.

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2025Advancing Portfolio Optimization: Adaptive Minimum-Variance Portfolios and Minimum Risk Rate Frameworks. (2025). Rachev, Svetlozar T ; Jaffri, Ali ; Shirvani, Abootaleb ; Jha, Ayush ; Fabozzi, Frank J. In: Papers. RePEc:arx:papers:2501.15793.

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2025Forecasting the Volatility of Energy Transition Metals. (2025). Bastianin, Andrea ; Li, Xiao ; Shamsudin, Luqman. In: Papers. RePEc:arx:papers:2501.16069.

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2025Quasi maximum likelihood estimation of high-dimensional approximate dynamic matrix factor models via the EM algorithm. (2025). Barigozzi, Matteo ; Trapin, Luca. In: Papers. RePEc:arx:papers:2502.04112.

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2025HedgeAgents: A Balanced-aware Multi-agent Financial Trading System. (2025). Li, Xiangyu ; Xing, Xiaofen ; Zeng, Yawen ; Xu, Xiangmin. In: Papers. RePEc:arx:papers:2502.13165.

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2025Robust and Efficient Deep Hedging via Linearized Objective Neural Network. (2025). Cai, Lin ; Zhao, Lei. In: Papers. RePEc:arx:papers:2502.17757.

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2025Fredholm Approach to Nonlinear Propagator Models. (2025). Tuschmann, Sturmius ; Neuman, Eyal ; de Carvalho, Nathan ; Bondi, Alessandro ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2503.04323.

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2025Multi-asset optimal trade execution with stochastic cross-effects: An Obizhaeva-Wang-type framework. (2025). Ackermann, Julia ; Kruse, Thomas ; Urusov, Mikhail. In: Papers. RePEc:arx:papers:2503.05594.

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2025Liquidity-adjusted Return and Volatility, and Autoregressive Models. (2025). Deng, QI ; Zhou, Zhong-Guo. In: Papers. RePEc:arx:papers:2503.08693.

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2025Randomization in Optimal Execution Games. (2025). Campbell, Steven ; Nutz, Marcel. In: Papers. RePEc:arx:papers:2503.08833.

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2025Generative Market Equilibrium Models with Stable Adversarial Learning via Reinforcement. (2025). Zhang, Zhanhao ; Sun, Qiang ; Shi, Xiaofei ; Kratsios, Anastasis. In: Papers. RePEc:arx:papers:2504.04300.

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2025Multi-Horizon Echo State Network Prediction of Intraday Stock Returns. (2025). Dellaportas, Petros ; Capra, Jacopo ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2504.19623.

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2025Marginal expected shortfall: Systemic risk measurement under dependence uncertainty. (2025). Lin, Sheldon X ; Furman, Edward ; Chen, Jinghui. In: Papers. RePEc:arx:papers:2504.19953.

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2025Multivariate Affine GARCH with Heavy Tails: A Unified Framework for Portfolio Optimization and Option Valuation. (2025). Fabozzi, Frank J ; Rachev, Svetlozar T ; Jha, Ayush ; Shirvani, Abootaleb ; Jaffri, Ali. In: Papers. RePEc:arx:papers:2505.12198.

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2025Winners vs. Losers: Momentum-based Strategies with Intertemporal Choice for ESG Portfolios. (2025). Jha, Ayush ; Rachev, Svetlozar T ; Fabozzi, Frank J ; Jaffri, Ali ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2505.24250.

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2025Residual Income Valuation and Stock Returns: Evidence from a Value-to-Price Investment Strategy. (2025). Haboub, Ahmad ; Kartsaklas, Aris ; Sarafidis, Vasilis. In: Papers. RePEc:arx:papers:2506.00206.

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2025Green Shields: The Role of ESG in Uncertain Time. (2025). Stasiulaitis, Dominykas ; Kansoy, Fatih. In: Papers. RePEc:arx:papers:2506.02143.

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2025Stochastic portfolio theory with price impact. (2025). Itkin, David. In: Papers. RePEc:arx:papers:2506.07993.

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2025Export proceeds repatriation policies: A shield against exchange rate volatility in emerging markets?. (2025). Uli, Sondang Marsinta ; Djuranovik, Leslie ; Gitaharie, Beta Yulianita ; Ekananda, Mahjus. In: Papers. RePEc:arx:papers:2506.09168.

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2025Functionally Generated Portfolios Under Stochastic Transaction Costs: Theory and Empirical Evidence. (2025). Karimi, Nader ; Salavati, Erfan. In: Papers. RePEc:arx:papers:2507.09196.

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2025Re-evaluating Short- and Long-Term Trend Factors in CTA Replication: A Bayesian Graphical Approach. (2025). Jacquot, Thomas ; Setrouk, Ethan ; Guez, B'Eatrice ; Etienne, Alban ; Ohana, Jean-Jacques ; Benhamou, Eric. In: Papers. RePEc:arx:papers:2507.15876.

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2025Optimal Trading under Instantaneous and Persistent Price Impact, Predictable Returns and Multiscale Stochastic Volatility. (2025). Chan, Patrick ; Zimbidis, Iosif ; Sircar, Ronnie. In: Papers. RePEc:arx:papers:2507.17162.

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2025Mapping Microscopic and Systemic Risks in TradFi and DeFi: a literature review. (2025). Vivo, Pierpaolo ; Caccioli, Fabio ; Bartolucci, Silvia ; Aufiero, Sabrina. In: Papers. RePEc:arx:papers:2508.12007.

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2025Higher moments under dependence uncertainty with applications in insurance. (2025). Vanduffel, Steven ; Bernard, Carole ; Chen, Jinghui. In: Papers. RePEc:arx:papers:2508.16600.

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2025Pricing American options with exogenous and endogenous transaction costs. (2025). He, Xin-Jiang ; Yan, Dong ; Huang, Xin-Jie ; Ma, Guiyuan. In: Papers. RePEc:arx:papers:2509.00485.

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2025Mean-Variance Stackelberg Games with Asymmetric Information. (2025). Huang, Yu-Jui ; Zhu, Shihao. In: Papers. RePEc:arx:papers:2509.03669.

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2025Sustainability Risks under Lotka-Volterra Dynamics. (2025). Zhi, Tianhao ; Wang, Yiren. In: Papers. RePEc:arx:papers:2509.04780.

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2025Collateral and Reputation in a Model of Strategic Defaults. (2025). Lukyanov, Georgy. In: Papers. RePEc:arx:papers:2509.08849.

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2025Path-dependent, ESG-valued, option pricing in the Bachelier-Black-Scholes-Merton model. (2025). Omotade, Blessing ; Rachev, Svetlozar T ; Lindquist, Brent W ; Nyarko, Nancy Asare ; Divelgama, Bhathiya. In: Papers. RePEc:arx:papers:2509.18099.

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2025What influenced the lack of diversity in CSR after the companys losses: evidence from topic modeling. (2025). Liu, Ruiying. In: Papers. RePEc:arx:papers:2509.23424.

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2025Financial Stability Implications of Generative AI: Taming the Animal Spirits. (2025). Lee, Seung Jung ; Hansen, Anne Lundgaard. In: Papers. RePEc:arx:papers:2510.01451.

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2025Nonparametric Estimation of Self- and Cross-Impact. (2025). Tuschmann, Sturmius ; Neuman, Eyal ; Hey, Natascha. In: Papers. RePEc:arx:papers:2510.06879.

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2025Inverse Portfolio Optimization with Synthetic Investor Data: Recovering Risk Preferences under Uncertainty. (2025). Cha, Jinho ; Lee, Jaejin ; Cho, Jaeyoung ; le Hoa, Thi ; Pham, Long. In: Papers. RePEc:arx:papers:2510.06986.

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2025(Non-Parametric) Bootstrap Robust Optimization for Portfolios and Trading Strategies. (2025). Firoozye, Nick ; Guzman, Grover ; Oliveira, Daniel Cunha. In: Papers. RePEc:arx:papers:2510.12725.

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2025Beyond Returns: A Candlestick-Based Approach to Spot Covariance Estimation. (2025). Simsek, Yasin. In: Papers. RePEc:arx:papers:2510.12911.

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2025Robust Insurance Pricing and Liquidity Management. (2025). Pang, Shunzhi. In: Papers. RePEc:arx:papers:2510.15709.

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2025Probability equivalent level for CoVaR and VaR in bivariate Student-\textit{t} copulas with application to foreign exchange risk monitoring. (2025). Flores-Silva, Daniela I ; Su, Alfonso ; Sordo, Miguel A. In: Papers. RePEc:arx:papers:2510.15934.

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2025Hierarchical AI Multi-Agent Fundamental Investing: Evidence from Chinas A-Share Market. (2025). Xiong, Yuxuan ; Ma, Kewei ; Luo, YE ; Li, Xiangguo ; Huang, Zhonghao ; He, Chujun ; Zhao, Mingyang ; Zhang, Xiaowei. In: Papers. RePEc:arx:papers:2510.21147.

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2025Revisiting the Structure of Trend Premia: When Diversification Hides Redundancy. (2025). Setrouk, Ethan ; Jacquot, Thomas ; Etienne, Alban ; Ohana, Jean-Jacques ; Benhamou, Eric ; Guez, B'Eatrice. In: Papers. RePEc:arx:papers:2510.23150.

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2025Forecast-to-Fill: Benchmark-Neutral Alpha and Billion-Dollar Capacity in Gold Futures (2015-2025). (2025). Singha, Mainak ; Aguilera-Toste, Jose ; Lahiri, Vinayak. In: Papers. RePEc:arx:papers:2511.08571.

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2025Re(Visiting) Time Series Foundation Models in Finance. (2025). Rahimikia, Eghbal ; Ni, Hao ; Wang, Weiguan. In: Papers. RePEc:arx:papers:2511.18578.

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2025How Smart is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs. (2025). Guidolin, Massimo ; Andronoudis, Dimos ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp25241.

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2024Dynamic Measures of Sovereign Systemic Risk. (2024). Radev, Deyan. In: Economic Studies journal. RePEc:bas:econst:y:2024:i:5:p:3-24.

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2024Mean-Variance Environmental Investment Optimization of Bulgarian Private Pension Funds. (2024). Kirov, Stoyan ; Beneva, Milena. In: Economic Studies journal. RePEc:bas:econst:y:2024:i:6:p:88-112.

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2024Is This Normal? The Cost of Assuming that Derivatives Have Normal Returns. (2024). Raykov, Radoslav. In: Staff Working Papers. RePEc:bca:bocawp:24-46.

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2024Decomposing Large Banks’ Systemic Trading Losses. (2024). Raykov, Radoslav. In: Staff Working Papers. RePEc:bca:bocawp:24-6.

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2025On-the-run Premia, Settlement Fails, and Central Bank Access. (2025). Schneider, Fabienne. In: Staff Working Papers. RePEc:bca:bocawp:25-19.

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2025Non-Bank Dealing and Liquidity Bifurcation in Fixed-Income Markets. (2025). Cimon, David ; Brolley, Michael. In: Staff Working Papers. RePEc:bca:bocawp:25-2.

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2025A Market-Based Approach to Reverse Stress Testing the Financial System. (2025). Ojea Ferreiro, Javier. In: Staff Working Papers. RePEc:bca:bocawp:25-32.

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2025Money Talks: Transaction Costs, the Value of Convenience, and the Cross-Section of Safe Asset Returns. (2025). Nenov, Plamen ; Schneider, Fabienne ; Syrstad, Olav ; Juelsrud, Ragnar. In: Staff Working Papers. RePEc:bca:bocawp:25-34.

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2025The Contingent Term Repo Facility: Lessons learned and an update. (2025). Chu, Parnell ; Kinnear, Scott ; Chen, Jessie Ziqing. In: Staff Analytical Notes. RePEc:bca:bocsan:25-12.

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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]		article72
2007Liquidity and Risk Management.(2007) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 72		paper
2007Slow Moving Capital In: American Economic Review.
[Full Text][Citation analysis]		article176
2007Slow Moving Capital.(2007) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 176		paper
2007Slow Moving Capital.(2007) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 176		paper
2011How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]		article685
2007How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 685		paper
2003Modeling Sovereign Yield Spreads: A Case Study of Russian Debt In: Journal of Finance.
[Full Text][Citation analysis]		article204
2005Predatory Trading In: Journal of Finance.
[Full Text][Citation analysis]		article141
2004Predatory Trading.(2004) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 141		paper
2004Predatory Trading.(2004) In: Econometric Society 2004 North American Winter Meetings.
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This paper has nother version. Agregated cites: 141		paper
2004Predatory Trading.(2004) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 141		paper
2013Value and Momentum Everywhere In: Journal of Finance.
[Full Text][Citation analysis]		article839
2013Dynamic Trading with Predictable Returns and Transaction Costs In: Journal of Finance.
[Full Text][Citation analysis]		article192
2009Dynamic Trading with Predictable Returns and Transaction Costs.(2009) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 192		paper
2009Dynamic Trading with Predictable Returns and Transaction Costs.(2009) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 192		paper
2018Efficiently Inefficient Markets for Assets and Asset Management In: Journal of Finance.
[Full Text][Citation analysis]		article61
2018Efficiently Inefficient Markets for Assets and Asset Management.(2018) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 61		paper
2015Efficiently Inefficient Markets for Assets and Asset Management.(2015) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 61		paper
2012Betting Against Beta In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper602
2014Betting against beta.(2014) In: Journal of Financial Economics.
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This paper has nother version. Agregated cites: 602		article
2010Betting Against Beta.(2010) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 602		paper
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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This paper has nother version. Agregated cites: 0		paper
2015Early Option Exercise: Never Say Never In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper18
2016Early option exercise: Never say never.(2016) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18		article
2018Generalized Recovery In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper9
2019Generalized recovery.(2019) In: Journal of Financial Economics.
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This paper has nother version. Agregated cites: 9		article
2016Generalized Recovery.(2016) In: 2016 Meeting Papers.
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This paper has nother version. Agregated cites: 9		paper
2018Size Matters, if You Control Your Junk In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper41
2018Size matters, if you control your junk.(2018) In: Journal of Financial Economics.
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This paper has nother version. Agregated cites: 41		article
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]		paper38
2020Betting against correlation: Testing theories of the low-risk effect.(2020) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		article
2018Risk Everywhere: Modeling and Managing Volatility In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper182
2018Risk Everywhere: Modeling and Managing Volatility.(2018) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 182		article
2003Asset Pricing with Liquidity Risk In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper1222
2004Asset Pricing with Liquidity Risk.(2004) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 1222		paper
2005Asset pricing with liquidity risk.(2005) In: Journal of Financial Economics.
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This paper has nother version. Agregated cites: 1222		article
2004Asset Pricing with Liquidity Risk.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1222		paper
2005Demand-Based Option Pricing In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper240
2005Demand-Based Option Pricing.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 240		paper
2009Demand-Based Option Pricing.(2009) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 240		article
2006Valuation in Over-the-Counter Markets In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper210
2006Valuation in Over-the-Counter Markets.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 210		paper
2007Valuation in Over-the-Counter Markets.(2007) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 210		article
2007Market Liquidity and Funding Liquidity In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper2474
2007Market liquidity and funding liquidity.(2007) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2474		paper
2007Market Liquidity and Funding Liquidity.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2474		paper
2009Market Liquidity and Funding Liquidity.(2009) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2474		article
2009When Everyone Runs for the Exit In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper55
2009When Everyone Runs for the Exit.(2009) In: International Journal of Central Banking.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 55		article
2009When Everyone Runs for the Exit.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 55		paper
2010Two Monetary Tools: Interest Rates and Haircuts In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper103
2011Two Monetary Tools: Interest Rates and Haircuts.(2011) In: NBER Chapters.
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This paper has nother version. Agregated cites: 103		chapter
2010Two Monetary Tools: Interest Rates and Haircuts.(2010) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 103		paper
2010Two Monetary Tools: Interest-Rates and Haircuts.(2010) In: 2010 Meeting Papers.
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This paper has nother version. Agregated cites: 103		paper
2012Measuring Systemic Risk In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper1166
2010Measuring systemic risk.(2010) In: Working Papers (Old Series).
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This paper has nother version. Agregated cites: 1166		paper
2017Measuring Systemic Risk.(2017) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 1166		article
2013Buffett’s Alpha In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper1
2013Buffetts Alpha.(2013) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 1		paper
2013Carry In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2018Carry.(2018) In: Journal of Financial Economics.
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This paper has nother version. Agregated cites: 0		article
2013Carry.(2013) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 0		paper
2013Market Liquidity In: Cambridge Books.
[Citation analysis]		book0
2013Market Liquidity.(2013) In: Cambridge Books.
[Citation analysis]
This paper has nother version. Agregated cites: 0		book
2011Monitoring Leverage In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
2012Monitoring Leverage.(2012) In: NBER Chapters.
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This paper has nother version. Agregated cites: 2		chapter
2005Over-the-Counter Markets In: Econometrica.
[Full Text][Citation analysis]		article406
2004Over-the-Counter Markets.(2004) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 406		paper
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]		article82
2012Time series momentum In: Journal of Financial Economics.
[Full Text][Citation analysis]		article488
2021Responsible investing: The ESG-efficient frontier In: Journal of Financial Economics.
[Full Text][Citation analysis]		article427
2002Securities lending, shorting, and pricing In: Journal of Financial Economics.
[Full Text][Citation analysis]		article256
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]		chapter623
2008Carry Trades and Currency Crashes.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 623		paper
2008Carry Trades and Currency Crashes.(2008) In: Working Papers.
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This paper has nother version. Agregated cites: 623		paper
2011Margin-Based Asset Pricing and Deviations from the Law of One Price In: NBER Working Papers.
[Full Text][Citation analysis]		paper287
2011Margin-based Asset Pricing and Deviations from the Law of One Price.(2011) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 287		article
2012Embedded Leverage In: NBER Working Papers.
[Full Text][Citation analysis]		paper6
2022Embedded Leverage.(2022) In: The Review of Asset Pricing Studies.
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This paper has nother version. Agregated cites: 6		article
2021Is There A Replication Crisis In Finance? In: NBER Working Papers.
[Full Text][Citation analysis]		paper24
2006Liquidity and Asset Prices In: Foundations and Trends(R) in Finance.
[Full Text][Citation analysis]		article225
2005Liquidity and Asset Prices.(2005) In: MPRA Paper.
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This paper has nother version. Agregated cites: 225		paper
2019Economics with Market Liquidity Risk In: Critical Finance Review.
[Full Text][Citation analysis]		article6
2004Adverse Selection and the Required Return In: The Review of Financial Studies.
[Full Text][Citation analysis]		article31
2015Introduction In: Introductory Chapters.
[Full Text][Citation analysis]		chapter0
2015Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined In: Economics Books.
[Citation analysis]		book31
2019Quality minus junk In: Review of Accounting Studies.
[Full Text][Citation analysis]		article34
2013TAXING SYSTEMIC RISK In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter6

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