NYU Stern

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Lasse H. Pedersen

Lasse H. Pedersen

Joined Stern 2001

Leonard N. Stern School of Business
Kaufman Management Center
44 West Fourth Street,
New York, NY 10012

E-mail lpederse@stern.nyu.edu
Personal website

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Biography

Lasse H. Pedersen is the John A. Paulson Professor of Finance and Alternative Investments at New York University Leonard N. Stern School of Business and a research associate at CEPR and NBER.

Professor Pedersen is part of the Liquidity Working Group meeting at the Federal Reserve Bank of New York to address liquidity issues. He also serves on the New York Fed's Monetary Policy Panel, on the Board of Directions of the American Finance Association, the Economic Advisory Boards of Nasdaq and FTSE, as a principal at AQR Capital Management, and as associate editor at The Journal of Finance, Journal of Economic Theory and The Review of Asset Pricing Studies. His academic awards include the Fama/DFA First Prize for the best papers published in the Journal of Financial Economics.

Professor Pedersen's research focuses on 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, betting against beta returns, predatory trading, value and momentum, shortselling, optimal dynamic trading, and other benefits of a realistic departure from classic frictionless finance theory.

Professor Pedersen received his B.S. and M.S. from University of Copenhagen and his Ph.D. from Stanford Graduate School of Business.

Research Interests

  • Liquidity Crisis
  • Asset Pricing with Liquidity Risk
  • Systemic Risk and Capital Mobility
  • Strategic Trading and Portfolio Selection
  • Equilibrium with Margin Constraints and Trading Frictions

Courses Taught

  • Foundations of Financial Markets
  • Hedge Fund Strategies
  • Liquidity and Asset Pricing
  • Topics in Asset Pricing
  • Topics in Hedge Fund Strategies

Academic Background

Ph.D., Finance, 2001
Stanford University

M.S., Mathematics-Economics, 1997
University of Copenhagen, Denmark

B.A., Mathematics-Economics, 1995
University of Copenhagen, Denmark

Awards & Appointments

 
American Finance Association Director 2011
Geewax, Terker & Company First Prize 2006
Journal of Financial Economics Fama/DFA First Prize for best paper 2005
Journal of Finance Nomination for the Smith-Breeden Prize for best paper 2005
NYU CDC Award for best research paper in finance 2004
Western Finance Association NYSE Award for the best paper on equity trading 2003
Journal of Finance Nomination for the Smith-Breeden Prize for best paper 2003
European Finance Association Barclays Global Investors Award for best the paper 2003
NYU Glucksman First-Place Award for best research paper in finance 2002
Western Finance Association NYSE Award for the best paper on equity trading 2002

Selected Publications

Markus Brunnermeier and Lasse H. Pedersen (2009)
Market Liquidity and Funding Liquidity
The Review of Financial Studies, 22, 2201-2238

Viral Acharya and Lasse Heje Pedersen (2005)
Asset Pricing with Liquidity Risk
Journal of Financial Economics, 77, 375-410

Darrell Duffie, Nicolae Garleanu, and Lasse Heje Pedersen (2005)
Over-the-Counter Markets
Econometrica, 73, 1815-1847

Areas of Expertise

Economics

  • Federal Reserve Bank/Central bank
  • Game Theory
  • Interest Rates
  • International Monetary Fund (IMF)
  • Monetary Policy

Finance

  • Asset Management
  • Credit/Debt Markets
  • Currencies & Exchange Rates
  • Derivatives
  • Fixed Income
  • Hedge Funds
  • Risk Management
  • Securities Markets
  • Stock Market
  • Valuation

Region/Country

  • Europe