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1

Time series momentum

Tobias J. Moskowitz, Yao Hua Ooi, Lasse Heje Pedersen

Journal:

Journal of Financial Economics

Year:

2012

Language:

english

File:

PDF, 1003 KB

english, 2012

2

Value and Momentum Everywhere

ASNESS, CLIFFORD S., MOSKOWITZ, TOBIAS J., PEDERSEN, LASSE HEJE

Journal:

The Journal of Finance

Year:

2013

Language:

english

File:

PDF, 2.00 MB

english, 2013

3

Betting against beta

Frazzini, Andrea, Pedersen, Lasse Heje

Journal:

Journal of Financial Economics

Year:

2014

Language:

english

File:

PDF, 989 KB

english, 2014

4

Market Liquidity and Funding Liquidity

Markus K. Brunnermeier and Lasse Heje Pedersen

Journal:

Review of Financial Studies

Year:

2009

Language:

english

File:

PDF, 3.91 MB

english, 2009

5

A Century of Evidence on Trend-Following Investing

Hurst, Brian, Ooi, Yao Hua, Pedersen, Lasse Heje

Journal:

The Journal of Portfolio Management

Year:

2017

Language:

english

File:

PDF, 2.65 MB

english, 2017

6

Sharpening the Arithmetic of Active Management

Pedersen, Lasse Heje

Journal:

Financial Analysts Journal

Year:

2018

Language:

english

File:

PDF, 980 KB

english, 2018

7

Buffett’s Alpha

Frazzini, Andrea, Kabiller, David, Pedersen, Lasse Heje

Journal:

Financial Analysts Journal

Year:

2018

Language:

english

File:

PDF, 1.37 MB

english, 2018

8

Asset pricing with liquidity risk

Viral V. Acharya, Lasse Heje Pedersen

Journal:

Journal of Financial Economics

Year:

2005

Language:

english

File:

PDF, 407 KB

english, 2005

9

Active and Passive Investing

Garleanu, Nicolae Bogdan, Pedersen, Lasse Heje

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 481 KB

english, 2018

10

Quality minus junk

Asness, Clifford S., Frazzini, Andrea, Pedersen, Lasse Heje

Journal:

Review of Accounting Studies

Year:

2018

Language:

english

File:

PDF, 1.89 MB

english, 2018

11

Betting against correlation: Testing theories of the low-risk effect

Asness, Cliff, Frazzini, Andrea, Gormsen, Niels Joachim, Pedersen, Lasse Heje

Journal:

Journal of Financial Economics

Year:

2019

Language:

english

File:

PDF, 3.86 MB

english, 2019

12

Which Trend Is Your Friend?

Levine, Ari, Pedersen, Lasse Heje

Journal:

Financial Analysts Journal

Year:

2016

Language:

english

File:

PDF, 625 KB

english, 2016

13

Measuring Systemic Risk

Acharya, Viral V., Pedersen, Lasse Heje, Philippon, Thomas, Richardson, Matthew P.

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 1.05 MB

english, 2010

14

Predatory Trading

MARKUS K. BRUNNERMEIER, LASSE HEJE PEDERSEN

Journal:

The Journal of Finance

Year:

2005

Language:

english

File:

PDF, 259 KB

english, 2005

15

Dynamic Trading with Predictable Returns and Transaction Costs

GÂRLEANU, NICOLAE, PEDERSEN, LASSE HEJE

Journal:

The Journal of Finance

Year:

2013

Language:

english

File:

PDF, 572 KB

english, 2013

16

Two Monetary Tools: Interest Rates and Haircuts

Adam Ashcraft, Nicolae Gârleanu, and Lasse Heje Pedersen

Journal:

NBER Macroeconomics Annual

Year:

2010

Language:

english

File:

PDF, 1024 KB

english, 2010

17

Slow Moving Capital

Mark Mitchell, Lasse Heje Pedersen and Todd Pulvino

Journal:

American Economic Review

Year:

2007

Language:

english

File:

PDF, 1.05 MB

english, 2007

18

Efficiently Inefficient Markets for Assets and Asset Management

GÂRLEANU, NICOLAE, PEDERSEN, LASSE HEJE

Journal:

The Journal of Finance

Year:

2018

Language:

english

File:

PDF, 639 KB

english, 2018

19

Securities lending, shorting, and pricing

Darrell Duffie, Nicolae Gârleanu, Lasse Heje Pedersen

Journal:

Journal of Financial Economics

Year:

2002

Language:

english

File:

PDF, 499 KB

english, 2002

20

Risk Everywhere: Modeling and Managing Volatility

Bollerslev, Tim, Hood, Benjamin, Huss, John, Pedersen, Lasse Heje

Journal:

Review of Financial Studies

Year:

2018

Language:

english

File:

PDF, 824 KB

english, 2018

21

Efficiently Inefficient (How Smart Money Invests and Market Prices Are Determined) || Chapter 2. Evaluating Trading Strategies: Performance Measures

Pedersen, Lasse Heje

Year:

2015

File:

PDF, 197 KB

2015

22

Liquidity and Risk Management

Gârleanu, Nicolae, Pedersen, Lasse Heje

Journal:

American Economic Review

Year:

2007

Language:

english

File:

PDF, 167 KB

english, 2007

23

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

Darrell Duffie, Lasse Heje Pedersen and Kenneth J. Singleton

Journal:

The Journal of Finance

Year:

2003

Language:

english

File:

PDF, 1.13 MB

english, 2003

24

Quality Minus Junk

Asness, Clifford S., Frazzini, Andrea, Pedersen, Lasse Heje

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 1.93 MB

english, 2013

25

Betting Against Beta

Frazzini, Andrea, Pedersen, Lasse Heje

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 2.07 MB

english, 2011

26

Carry

Koijen, Ralph S. J., Moskowitz, Tobias J., Pedersen, Lasse Heje, Vrugt, Evert B.

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 347 KB

english, 2013

27

Market Liquidity (Asset Pricing, Risk, and Crises) || Market Microstructure and Securities Values Evidence from the Tel Aviv Stock Exchange＊

Amihud, Yakov, Mendelson, Haim, Pedersen, Lasse Heje

Year:

2012

Language:

english

File:

PDF, 286 KB

english, 2012

28

Early option exercise: Never say never

Jensen, Mads Vestergaard, Pedersen, Lasse Heje

Journal:

Journal of Financial Economics

Year:

2016

Language:

english

File:

PDF, 948 KB

english, 2016

29

Predatory Trading

Markus K. Brunnermeier and Lasse Heje Pedersen

Journal:

The Journal of Finance

Year:

2005

Language:

english

File:

PDF, 4.47 MB

english, 2005

30

Liquidity and Asset Prices

Amihud, Yakov, Mendelson, Haim, Pedersen, Lasse Heje

Journal:

Foundations and Trends® in Finance

Year:

2005

Language:

english

File:

PDF, 442 KB

english, 2005

31

Carry

Koijen, Ralph S.J., Moskowitz, Tobias J., Pedersen, Lasse Heje, Vrugt, Evert B.

Journal:

Journal of Financial Economics

Year:

2017

Language:

english

File:

PDF, 3.03 MB

english, 2017

32

Buffett's Alpha

Frazzini, Andrea, Kabiller, David, Pedersen, Lasse Heje

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 498 KB

english, 2018

33

Market Liquidity (Asset Pricing, Risk, and Crises) || Liquidity, Maturity, and the Yields on U.S. Treasury Securities

Amihud, Yakov, Mendelson, Haim, Pedersen, Lasse Heje

Year:

2012

File:

PDF, 57 KB

2012

34

Efficiently Inefficient (How Smart Money Invests and Market Prices Are Determined) || Chapter 4. Portfolio Construction and Risk Management

Pedersen, Lasse Heje

Year:

2015

File:

PDF, 181 KB

2015

35

Efficiently Inefficient (How Smart Money Invests and Market Prices Are Determined) || Chapter 10. Introduction to Asset Allocation: The Returns to the Major Asset Classes

Pedersen, Lasse Heje

Year:

2015

File:

PDF, 273 KB

2015

36

Efficiently Inefficient (How Smart Money Invests and Market Prices Are Determined) || Chapter 9. Quantitative Equity Investing

Pedersen, Lasse Heje

Year:

2015

File:

PDF, 927 KB

2015

37

Responsible investing: The ESG-efficient frontierâ

Pedersen, Lasse Heje, Fitzgibbons, Shaun, Pomorski, Lukasz

Journal:

Journal of Financial Economics

Year:

2020

File:

PDF, 4.23 MB

2020

38

A Century of Evidence on Trend-Following Investing

Hurst, Brian, Ooi, Yao Hua, Pedersen, Lasse Heje

Journal:

SSRN Electronic Journal

Year:

2017

File:

PDF, 927 KB

2017

39

Efficiently Inefficient Markets for Assets and Asset Management

Garleanu, Nicolae, Pedersen, Lasse Heje

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 433 KB

english, 2015

40

Sharpening the Arithmetic of Active Management

Pedersen, Lasse Heje

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 499 KB

english, 2017

41

Value and Momentum Everywhere

Asness, Clifford S., Moskowitz, Tobias J., Pedersen, Lasse Heje

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 1.62 MB

english, 2012

42

Market Liquidity (Asset Pricing, Risk, and Crises) || Liquidity and the 1987 Stock Market Crash

Amihud, Yakov, Mendelson, Haim, Pedersen, Lasse Heje

Year:

2012

Language:

english

File:

PDF, 176 KB

english, 2012

43

Risk Everywhere: Modeling and Managing Volatility

Bollerslev, Tim, Hood, Benjamin, Huss, John, Pedersen, Lasse Heje

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 1.63 MB

english, 2016

44

Market Liquidity (Asset Pricing, Risk, and Crises) || Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange

Amihud, Yakov, Mendelson, Haim, Pedersen, Lasse Heje

Year:

2012

Language:

english

File:

PDF, 41 KB

english, 2012

45

Market Liquidity (Asset Pricing, Risk, and Crises) || Asset Pricing with Liquidity Risk

Amihud, Yakov, Mendelson, Haim, Pedersen, Lasse Heje

Year:

2012

Language:

english

File:

PDF, 424 KB

english, 2012

46

Efficiently Inefficient (How Smart Money Invests and Market Prices Are Determined) || Chapter 15. Convertible Bond Arbitrage

Pedersen, Lasse Heje

Year:

2015

File:

PDF, 711 KB

2015

47

Efficiently Inefficient (How Smart Money Invests and Market Prices Are Determined) || Chapter 7. Discretionary Equity Investing

Pedersen, Lasse Heje

Year:

2015

File:

PDF, 259 KB

2015

48

Efficiently Inefficient (How Smart Money Invests and Market Prices Are Determined) || Chapter 12 Managed Futures: Trend-Following Investing

Pedersen, Lasse Heje

Year:

2015

File:

PDF, 484 KB

2015

49

Efficiently Inefficient (How Smart Money Invests and Market Prices Are Determined) || Chapter 11. Global Macro Investing

Pedersen, Lasse Heje

Year:

2015

File:

PDF, 453 KB

2015

50

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

Darrell Duffie, Lasse Heje Pedersen, Kenneth J. Singleton

Journal:

The Journal of Finance

Year:

2003

Language:

english

File:

PDF, 664 KB

english, 2003

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