If you made any changes in Pure these will be visible here soon.

Research Output 2012 2019

2019
4 Downloads (Pure)

Generalized Recovery

Jensen, C. S., Lando, D. & Pedersen, L. H., Jul 2019, In : Journal of Financial Economics. 133, 1, p. 154-174 21 p.

Research output: Contribution to journalJournal articleResearchpeer-review

Open Access
File

Quality Minus Junk

Asness, C. S., Frazzini, A. & Pedersen, L. H., 2019, In : Review of Accounting Studies. 24, 1, p. 34–112 79 p.

Research output: Contribution to journalJournal articleResearchpeer-review

Open Access
2018

Betting Against Correlation: Testing Theories of the Low-risk Effect

Asness, C. S., Frazzini, A., Gormsen, N. J. & Pedersen, L. H., 2018, London: Centre for Economic Policy Research, 65 p. (Centre for Economic Policy Research. Discussion Papers; No. DP12686).

Research output: Working paperResearch

22 Downloads (Pure)

Buffett's Alpha

Frazzini, A., Kabiller, D. & Pedersen, L. H., 2018, In : Financial Analysts Journal. 74, 4, p. 35-55 21 p.

Research output: Contribution to journalJournal articleResearchpeer-review

Open Access
File

Carry

Koijen, R. S. J., Moskowitz, T., Pedersen, L. H. & Vrugt, E. B., Feb 2018, In : Journal of Financial Economics. 127, 2, p. 197-225 29 p.

Research output: Contribution to journalJournal articleResearchpeer-review

Deep Value

Asness, C. S., Liew, J. M., Pedersen, L. H. & Thapar, A. K., 2018, London: Centre for Economic Policy Research, 62 p. (Centre for Economic Policy Research. Discussion Papers; No. DP12685).

Research output: Working paperResearch

Efficiently Inefficient Markets for Assets and Asset Management

Garleanu, N. & Pedersen, L. H., 2018, London: Centre for Economic Policy Research, 65 p. (Centre for Economic Policy Research. Discussion Papers; No. DP12664).

Research output: Working paperResearch

Efficiently Inefficient Markets for Assets and Asset Management

Garleanu, N. & Pedersen, L. H., 2018, In : Journal of Finance. 73, 4, p. 1663-1712 50 p.

Research output: Contribution to journalJournal articleResearchpeer-review

Generalized Recovery

Lando, D., Pedersen, L. H. & Jensen, C. S., 2018, London: Centre for Economic Policy Research, 66 p. (Centre for Economic Policy Research. Discussion Papers; No. DP12665).

Research output: Working paperResearch

Risk Everywhere: Modeling and Managing Volatility

Bollerslev, T., Hood, B., Huss, J. & Pedersen, L. H., 2018, London: Centre for Economic Policy Research, p. 57, (Centre for Economic Policy Research. Discussion Papers; No. DP12687).

Research output: Working paperResearch

113 Downloads (Pure)

Risk Everywhere: Modeling and Managing Volatility

Bollerslev, T., Hood, B., Huss, J. & Pedersen, L. H., Jul 2018, In : Review of Financial Studies. 31, 7, p. 2730-2773 44 p.

Research output: Contribution to journalJournal articleResearchpeer-review

Open Access
File

Sharpening the Arithmetic of Active Management

Pedersen, L. H., 2018, In : Financial Analysts Journal. 74, 1, p. 21-36 16 p.

Research output: Contribution to journalJournal articleResearchpeer-review

75 Downloads (Pure)

Size Matters, if You Control Your Junk

Asness, C. S., Frazzini, A., Israel, R., Moskowitz, T. J. & Pedersen, L. H., Sep 2018, In : Journal of Financial Economics. 129, 3, p. 479-509 31 p.

Research output: Contribution to journalJournal articleResearchpeer-review

Open Access
File

Size Matters, if You Control Your Junk

Asness, C. S., Frazzini, A., Israel, R. & Pedersen, L. H., 2018, London: Centre for Economic Policy Research, 58 p. (Centre for Economic Policy Research. Discussion Papers; No. DP12684).

Research output: Working paperResearch

2017

A Century of Evidence on Trend-Following Investing

Hurst, B., Ooi, Y. H. & Pedersen, L. H., Jan 2017, In : The Journal of Portfolio Management. 44, 1, p. 15-29 15 p.

Research output: Contribution to journalJournal articleResearchpeer-review

377 Downloads (Pure)

Aktiv kontra passiv forvaltning

Bechmann, K. L. & Pedersen, L. H., Jun 2017, In : Finans/Invest. 3, p. 2-4

Research output: Contribution to journalEditorialResearchpeer-review

Open Access
File

Generalized Recovery

Jensen, C. S., Lando, D. & Pedersen, L. H., 2017, www: SSRN: Social Science Research Network, 63 p.

Research output: Working paperResearch

Generalized Recovery

Jensen, C. S., Lando, D. & Pedersen, L. H., 2017. 58 p.

Research output: Contribution to conferencePaperResearchpeer-review

Open Access

Measuring Systemic Risk

Acharya, V. V., Heje Pedersen, L., Philippon, T. & Richardson, M., 2017, In : The Review of Financial Studies. 30, 1, p. 2-47

Research output: Contribution to journalJournal articleResearchpeer-review

Size Matters, if you Control Your Junk

Asness, C., Frazzini, A., Israel, R., Moskowitz, T. & Pedersen, L. H., 2017. 65 p.

Research output: Contribution to conferencePaperResearchpeer-review

Open Access
2016
159 Downloads (Pure)

Dynamic Portfolio Choice with Frictions

Garleanu, N. & Heje Pedersen, L., Sep 2016, In : Journal of Economic Theory. 165, p. 487-516

Research output: Contribution to journalJournal articleResearchpeer-review

Open Access
File
191 Downloads (Pure)

Early Option Exercise: Never Say Never

Jensen, M. V. & Heje Pedersen, L., Aug 2016, In : Journal of Financial Economics. 121, 2, p. 278-299 22 p.

Research output: Contribution to journalJournal articleResearchpeer-review

Open Access
File

Generalized Recovery

Skov Jensen, C., Lando, D. & Heje Pedersen, L., 2016. 41 p.

Research output: Contribution to conferencePaperResearchpeer-review

Open Access

Generalized Recovery

Skov Jensen, C., Lando, D. & Heje Pedersen, L., 2016. 59 p.

Research output: Contribution to conferencePaperResearchpeer-review

Open Access

Which Trend is your Friend?

Levine, A. & Heje Pedersen, L., 2016, In : Financial Analysts Journal. 72, 3, p. 51-66

Research output: Contribution to journalJournal articleResearchpeer-review

2015

Early Option Exercise: Never Say Never

Heje Pedersen, L. & Jensen, M. V., Dec 2015, London: Centre for Economic Policy Research, 64 p. (Centre for Economic Policy Research. Discussion Papers; No. 11019).

Research output: Working paperResearch

Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined

Heje Pedersen, L., 2015, Princeton, NJ: Princeton University Press. 348 p.

Research output: Book/ReportBookResearchpeer-review

Efficiently Inefficient Markets for Assets and Assets Management

Garleanu, N. & Heje Pedersen, L., Sep 2015, Cambridge, MA: National Bureau of Economic Research (NBER), 54 p. (National Bureau of Economic Research. Working Paper Series; No. 21563).

Research output: Working paperResearch

Quality Minus Junk

Asness, C. S., Frazzini, A. & Heje Pedersen, L., 2015. 65 p.

Research output: Contribution to conferencePaperResearchpeer-review

2014

Betting against Beta

Frazzini, A. & Heje Pedersen, L., 2014, In : Journal of Financial Economics. 111, 1, p. 1-25

Research output: Contribution to journalJournal articleResearchpeer-review

Low-Risk Investing without Industry Bets

Asness, C. S., Frazzini, A. & Heje Pedersen, L., 2014, In : Financial Analysts Journal. 70, 4, p. 24-41 18 p.

Research output: Contribution to journalJournal articleResearchpeer-review

Monitoring Leverage

Geanakoplos, J. & Heje Pedersen, L., 2014, Risk Topography: Systemic Risk and Macro Modeling. Brunnermeier, M. & Krishnamurthy, A. (eds.). Chicago: University of Chicago Press, p. 113-127

Research output: Chapter in Book/Report/Conference proceedingBook chapterResearchpeer-review

2013

Buffett's Alpha

Frazzini, A., Kabiller, D. & Heje Pedersen, L., Nov 2013, Cambridge, MA: National Bureau of Economic Research (NBER), 45 p. (National Bureau of Economic Research. Working Paper Series; No. 19681).

Research output: Working paperResearch

Carry

Koijen, R. S. J., Moskowitz, T. J., Heje Pedersen, L. & Vrugt, E. B., Aug 2013, Cambridge, MA: National Bureau of Economic Research (NBER), 63 p. (National Bureau of Economic Research. Working Paper Series; No. 19325).

Research output: Working paperResearch

Demystifying Managed Futures

Hurst, B., Hua Ooi, Y. & Heje Pedersen, L., 2013, In : Journal of Investment Management. 11, 3, p. 42-58

Research output: Contribution to journalJournal articleResearchpeer-review

Dynamic Trading with Predictable Returns and Transaction Costs

Gârleanu, N. & Heje Pedersen, L., Dec 2013, In : Journal of Finance. 68, 6, p. 2309–2340

Research output: Contribution to journalJournal articleResearchpeer-review

How to Calculate Systemic Risk Surcharges

Acharya, V. V., Heje Pedersen, L., Philippon, T. & Richardson, M., 2013, Quantifying Systemic Risk. Haubrich, J. G. & Lo, A. W. (eds.). Chicago: University of Chicago Press, p. 175-212 (National Bureau of Economic Research Conference Report).

Research output: Chapter in Book/Report/Conference proceedingBook chapterResearchpeer-review

Market Liquidity: Asset Pricing, Risk, and Crises

Amihud, Y., Mendelson, H. & Heje Pedersen, L., 2013, Cambridge: Cambridge University Press. 277 p.

Research output: Book/ReportBookResearchpeer-review

Taxing Systemic Risk

Acharya, V. V., Heje Pedersen, L., Philippon, T. & Richardson, M., 2013, Managing and Measuring Risk: Emerging Global Standards and Regulation After the Financial Crisis. Roggi, O. & Altman, E. (eds.). Singapore: World Scientific, p. 99-122 (World Scientific Series in Finance, Vol. 5).

Research output: Chapter in Book/Report/Conference proceedingBook chapterResearchpeer-review

3790 Downloads (Pure)

Value and Momentum Everywhere

Asness, C. S., Moskowitz, T. & Heje Pedersen, L., Jun 2013, In : Journal of Finance. 68, 3, p. 929-985

Research output: Contribution to journalJournal articleResearchpeer-review

Open Access
File

“Will My Risk Parity Strategy Outperform?”: A Comment

Asness, C., Frazzini, A. & Heje Pedersen, L., 2013, In : Financial Analysts Journal. 69, 2, p. 12-15

Research output: Contribution to journalComment/debateResearch

2012

A Century of Evidence on Trend-Following Investing: Executive Summary

Hurst, B., Ooi, Y. H. & Heje Pedersen, L., 2012, Greenwich, CT: AQR Capital Management, LLC, 12 p.

Research output: Working paperResearch

Betting Against Beta

Frazzini, A. & Heje Pedersen, L., 2012, www: SSRN: Social Science Research Network, 85 p. (Swiss Finance Institute Research Paper Series; No. 12-17).

Research output: Working paperResearch

Buffett’s Alpha

Frazzini, A., Kabiller, D. & Heje Pedersen, L., 29 Aug 2012, New Haven, CT: Yale University, 10 p.

Research output: Working paperResearch

Dynamic Trading with Predictable Returns and Transaction Costs

Garleanu, N. & Heje Pedersen, L., 2012. 58 p.

Research output: Contribution to conferencePaperResearchpeer-review

Embedded Leverage

Frazzini, A. & Heje Pedersen, L., 2012, Cambridge, MA: National Bureau of Economic Research (NBER), 60 p. (National Bureau of Economic Research. Working Paper Series; No. 18558).

Research output: Working paperResearch

Leverage Aversion and Risk Parity

Asness, C., Frazzini, A. & Heje Pedersen, L., 2012, In : Financial Analysts Journal. 68, 1, p. 47-59

Research output: Contribution to journalJournal articleResearchpeer-review

Measuring Systemic Risk

Acharya, V. V., Heje Pedersen, L., Philippon, T. & Richardson, M. P., Feb 2012, London: Centre for Economic Policy Research, 33 p. (Centre for Economic Policy Research. Discussion Papers; No. 8824).

Research output: Working paperResearch

Measuring Systemic Risk

Heje Pedersen, L., 2012.

Research output: Contribution to conferenceConference abstract for conferenceResearchpeer-review

Time Series Momentum

Moskowitz, T. J., Ooi, Y. H. & Heje Pedersen, L., 2012, In : Journal of Financial Economics. 104, 2, p. 228-250 23 p.

Research output: Contribution to journalJournal articleResearchpeer-review