• Filter By.
  • Topic (${ Topics.length })
  • Type (${ ContentTypes.length })
  • Contributor (${ Contributors.length })
Filter By.







Close Clear Filters Apply

Showing 1 - 10 of 56 results

Sort By
  • Relevance
  • Newest
  • Oldest

Working Paper

Embedded Leverage

November 1, 2012 - Andrea Frazzini Lasse H. Pedersen

Embedded leverage—the amount of market exposure per unit of committed capital—has become an important feature of financial instruments. We study embedded leverage in equity options, index options and ETFs, and how it affects the required returns.

Journal Article

Efficiently Inefficient Markets for Assets and Asset Management

September 21, 2015 - Nicolae Gârleanu Lasse H. Pedersen

We consider a model where investors can invest directly or search for an asset manager, information about assets is costly. If investors can find managers more easily, more money is allocated to active management, fees are lower, and asset prices are more efficient.

Working Paper

Early Option Exercise: Never Say Never

March 18, 2016 - Mads Vestergaard Jensen Lasse H. Pedersen

A classic rule in financial economics: Never exercise a call option and never convert a convertible bond, except just before expiration or dividend payments. This paper shows how this rule breaks down when financial frictions are introduced.

Working Paper

Corporate Bond Specialness

February 1, 2007 - Amrut J. Nashikkar Lasse H. Pedersen

The U.S. bond market is a well-understood source of corporate financing, but research on its cash and lending markets is limited. Using a dataset of corporate bond-lending transactions, we shed light on drivers of shorting activity and shorting costs.

Working Paper

Measuring Systemic Risk

April 23, 2010 - Viral V. Acharya Lasse H. Pedersen Thomas Philippon Matthew P. Richardson

We present a simple model of systemic risk and show how each financial institution’s contribution to systemic risk can be measured and priced—its propensity to be undercapitalized when the system as a whole is undercapitalized, which increases in its leverage, volatility, correlation, and tail-dependence.

Working Paper

Generalized Recovery

March 1, 2016 - Christian Skov Jensen David Lando Lasse H. Pedersen

We shed new light, both theoretically and empirically, on the Holy Grail in financial economics: decoding probabilities and risk preferences from asset prices.

Journal Article

Quality Minus Junk

October 9, 2013 - Cliff Asness Andrea Frazzini Lasse H. Pedersen

We show that a quality-minus-junk (QMJ) factor that goes long high-quality stocks and shorts low-quality stocks earns significant risk-adjusted returns in the U.S. and globally. Also, controlling for quality resurrects the otherwise moribund size effect.

Journal Article

Asset Pricing With Liquidity Risk

June 7, 2004 - Viral V. Acharya Lasse H. Pedersen

This paper presents a simple theoretical model that helps explain how asset prices are affected by liquidity risk — the inability to find buyers or sellers of securities at will — and commonality in liquidity. This liquidity-adjusted capital asset pricing model (CAPM) provides a unified framework for understanding the various channels through which liquidity risk may affect asset prices.

Working Paper

Liquidity and Risk Management

February 1, 2007 - Nicolae Gârleanu Lasse H. Pedersen

This paper provides a model of the interaction between risk-management practices and market liquidity. We find that a feedback effect can arise: Tighter risk management leads to market illiquidity, which then further tightens risk management.

Working Paper

Deep Value

December 4, 2017 - Cliff Asness John M. Liew Lasse H. Pedersen Ashwin Thapar

We examine the efficacy of a hypothetical deep value strategy—where the valuation spread between cheap and expensive securities is wide relative to its history—across global asset classes and also provide new evidence on competing theories for the value premium.