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Research Output 2012 2019

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Working paper
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

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

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

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

Generalized Recovery

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

Research output: Working paperResearch

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 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

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

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

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

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

Value and Momentum Everywhere

Asness, C. S., Moskowitz, T. J. & Heje Pedersen, L., 2012, Chicago, IL: The University of Chicago Booth School of Business, 70 p. (Chicago Booth Paper; No. 12-53).

Research output: Working paperResearch