Lasse H. Pedersen - Biography#

A full CV is available through http://people.stern.nyu.edu/lpederse/index.htm

Lasse Heje Pedersen is a professor at Copenhagen Business School, the John A. Paulson Professor of Finance and Alternative Investments at the NYU Stern School of Business, a research associate at CEPR and NBER, a principal at AQR Capital Management, and a Director of the American Finance Association. Lasse has served in the Liquidity Working Group meeting at the Federal Reserve Bank of New York to address liquidity issues, the New York Fed’s Monetary Policy Panel, the Economic Advisory Boards of NASDAQ and FTSE, and on the editorial boards of the Journal of Finance, Journal of Economic Theory, The Review of Asset Pricing Studies, and Quarterly Journal of Economics. His academic awards include the Bernácer Prize to the Best E.U. Economist Under 40 Years of Age, the Fama-DFA Prize, and the Michael Brennan Award. Lasse received his B.S. and M.S. from University of Copenhagen and his Ph.D. from Stanford University Graduate School of Business.

His research focuses on asset pricing and liquidity risk. It shows that a security’s required return is increased by market liquidity risk (as captured by the liquidity-adjusted capital asset pricing model) and funding liquidity risk (as captured by the margin CAPM), and how the interaction of market and funding liquidity can create liquidity spirals and systemic financial crisis. Indeed, when everyone runs for the exit, prices drop-and-rebound, margins increase, and risk management tighten. These liquidity risk models can help explain equity returns, option prices, bond yields, currency crashes, valuation in OTC search markets, the CDS-bond basis and other failures of the Law of One Price, the effect of unconventional monetary policy such as central banks’ lending facilities, low-beta returns, predatory trading, shortselling, optimal dynamic trading, and other benefits of a realistic departure from classic frictionless finance theory. In addition to liquidity risk, the other "big" factors that drive returns across markets and asset classes include market risk, betting against beta, carry, value, momentum, and time series momentum.