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Lasse Heje Pedersen : Citation Profile

Are you Lasse Heje Pedersen?

Copenhagen Business School (75% share)
Centre for Economic Policy Research (CEPR) (20% share)
New York University (NYU) (5% share)

29

H index

32

i10 index

10797

Citations

RESEARCH PRODUCTION:

32

Articles

52

Papers

3

Books

6

Chapters

RESEARCH ACTIVITY:

   20 years (2002 - 2022). See details.
   Cites by year: 539
   Journals where Lasse Heje Pedersen has often published
   Relations with other researchers
   Recent citing documents: 1062.    Total self citations: 47 (0.43 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe174
   Updated: 2024-12-03    RAS profile: 2022-08-04    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Lasse Heje Pedersen.

Is cited by:

Zaremba, Adam (73)

Vayanos, Dimitri (70)

Adrian, Tobias (61)

He, Zhiguo (52)

Sarno, Lucio (51)

Schrimpf, Andreas (46)

Acharya, Viral (46)

Shin, Hyun Song (45)

Weill, Pierre-Olivier (38)

Pelizzon, Loriana (38)

Ranaldo, Angelo (37)

Cites to:

Shleifer, Andrei (25)

French, Kenneth (23)

Fama, Eugene (18)

Acharya, Viral (18)

Amihud, Yakov (16)

Vayanos, Dimitri (15)

Stambaugh, Robert (15)

Campbell, John (14)

Subrahmanyam, Avanidhar (13)

Tirole, Jean (12)

Pastor, Lubos (11)

Main data

Where Lasse Heje Pedersen has published?

Journals with more than one article published# docs
Journal of Financial Economics10
The Review of Financial Studies7
Journal of Finance5
American Economic Review2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc21
CEPR Discussion Papers / C.E.P.R. Discussion Papers20
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2
Econometric Society 2004 North American Winter Meetings / Econometric Society2

Recent works citing Lasse Heje Pedersen (2024 and 2023)

YearTitle of citing document
2023Exchange rate risk and sovereign debt risk in South Africa: A Regime Dependent Approach. (2023). Biyase, Mduduzi ; Manguzvane, Mathias. In: Economics Working Papers. RePEc:ady:wpaper:edwrg-04-2023.

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2023.

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2024Impact of Security Threats on Investment in Nigeria. (2024). Ijirshar, Victor ; Ogoda, Samuel Igwe ; Ibrahim, Amina Shehu ; Okpe, Isa Jibrin. In: CECCAR Business Review. RePEc:ahd:journl:v:5:y:2024:i:1:p:59-72.

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2023.

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2023Analysis of Dynamic Connectedness among Sovereign CDS Premia. (2023). Ceylan, Ozcan. In: World Journal of Applied Economics. RePEc:ana:journl:v:9:y:2023:i:1:p:33-47.

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2023Dynamic Networks in Large Financial and Economic Systems. (2020). Baruník, Jozef ; Ellington, Michael. In: Papers. RePEc:arx:papers:2007.07842.

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2023Bitcoin Trading is Irrational! An Analysis of the Disposition Effect in Bitcoin. (2020). Haslhofer, Bernhard ; Schatzmann, Jurgen E. In: Papers. RePEc:arx:papers:2010.12415.

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2024An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2023Deep Reinforcement Trading with Predictable Returns. (2021). Brini, Alessio ; Tantari, Daniele. In: Papers. RePEc:arx:papers:2104.14683.

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2023Closed-Loop Nash Competition for Liquidity. (2021). Neuman, Eyal ; Muhle-Karbe, Johannes ; Micheli, Alessandro. In: Papers. RePEc:arx:papers:2112.02961.

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2023Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962.

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2023Reducing Obizhaeva-Wang type trade execution problems to LQ stochastic control problems. (2022). Urusov, Mikhail ; Kruse, Thomas ; Ackermann, Julia. In: Papers. RePEc:arx:papers:2206.03772.

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2024Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2024Most claimed statistical findings in cross-sectional return predictability are likely true. (2022). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2206.15365.

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2023A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies. (2022). Xia, Xiaonyu ; Horst, Ulrich ; Fu, Guanxing. In: Papers. RePEc:arx:papers:2207.00446.

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2024Beta-Sorted Portfolios. (2022). Wang, Weining ; Crump, Richard K ; Cattaneo, Matias D. In: Papers. RePEc:arx:papers:2208.10974.

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2023Fast and Slow Optimal Trading with Exogenous Information. (2022). Neuman, Eyal ; Micheli, Alessandro. In: Papers. RePEc:arx:papers:2210.01901.

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2023Systemic robustness: a mean-field particle system approach. (2022). Bayraktar, Erhan ; Zhang, Yuming Paul ; Tang, Wenpin ; Guo, Gaoyue. In: Papers. RePEc:arx:papers:2212.08518.

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2024Peer-reviewed theory does not help predict the cross-section of stock returns. (2022). Zimmermann, Tom ; Lopez-Lira, Alejandro ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2212.10317.

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2023View fusion vis-\`a-vis a Bayesian interpretation of Black-Litterman for portfolio allocation. (2023). Roberts, Stephen ; Zohren, Stefan ; Spears, Trent. In: Papers. RePEc:arx:papers:2301.13594.

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2023Long-term option pricing with a lower reflecting barrier. (2023). Thomas, Guy R. In: Papers. RePEc:arx:papers:2302.05808.

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2023Bayesian Optimization of ESG Financial Investments. (2023). Vaca, Maria Coronado ; Piris, Gabriel Gonz'Alez ; Garrido-Merch, Eduardo C. In: Papers. RePEc:arx:papers:2303.01485.

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2023A Unified Framework for Fast Large-Scale Portfolio Optimization. (2023). Safikhani, Abolfazl ; Polak, Pawel ; Shah, Ronakdilip ; Deng, Weichuan. In: Papers. RePEc:arx:papers:2303.12751.

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2023Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks. (2023). Usseglio-Carleve, Antoine ; Kratz, Marie ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2304.06950.

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2023The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349.

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2023Green portfolio optimization: A scenario analysis and stress testing based novel approach for sustainable investing in the paradigm Indian markets. (2023). Chakrabarty, Siddhartha P ; Raj, Rishabh ; Mishra, Shashwat. In: Papers. RePEc:arx:papers:2305.16712.

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2023The Cost of Misspecifying Price Impact. (2023). Webster, Kevin ; Muhle-Karbe, Johannes ; Mastromatteo, Iacopo ; Bouchaud, Jean-Philippe ; Hey, Natascha. In: Papers. RePEc:arx:papers:2306.00599.

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2023Constructing Time-Series Momentum Portfolios with Deep Multi-Task Learning. (2023). Herremans, Dorien ; Ong, Joel. In: Papers. RePEc:arx:papers:2306.13661.

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2024Liquidity Premium, Liquidity-Adjusted Return and Volatility, and a Unified Modern Portfolio Theory: illustrated with Crypto Assets. (2023). Deng, QI. In: Papers. RePEc:arx:papers:2306.15807.

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2023Deep Inception Networks: A General End-to-End Framework for Multi-asset Quantitative Strategies. (2023). Zohren, Stefan ; Roberts, Stephen ; Liu, Tom. In: Papers. RePEc:arx:papers:2307.05522.

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2023Multi-Factor Inception: What to Do with All of These Features?. (2023). Zohren, Stefan ; Liu, Tom. In: Papers. RePEc:arx:papers:2307.13832.

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2023Network Momentum across Asset Classes. (2023). Zohren, Stefan ; Dong, Xiaowen ; Roberts, Stephen ; Pu, Xingyue. In: Papers. RePEc:arx:papers:2308.11294.

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2023New general dependence measures: construction, estimation and application to high-frequency stock returns. (2023). Leeuwenkamp, Aleksy ; Hu, Wentao. In: Papers. RePEc:arx:papers:2309.00025.

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2023ESG-coherent risk measures for sustainable investing. (2023). Lindquist, Brent W ; Rachev, Svetlozar T ; Dentcheva, Darinka ; Giacometti, Rosella ; Torri, Gabriele. In: Papers. RePEc:arx:papers:2309.05866.

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2024Systemic risk in financial networks: the effects of asymptotic independence. (2023). Fasen-Hartmann, Vicky ; Das, Bikramjit. In: Papers. RePEc:arx:papers:2309.15511.

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2023Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot. (2023). Jacka, Saul D ; Gupta, Puru. In: Papers. RePEc:arx:papers:2309.16047.

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2023NoxTrader: LSTM-Based Stock Return Momentum Prediction for Quantitative Trading. (2023). Chiu, Wei-Ning ; Shu, Han-Jay ; Liu, Hsiang-Hui. In: Papers. RePEc:arx:papers:2310.00747.

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2023Unwinding Stochastic Order Flow: When to Warehouse Trades. (2023). Zhao, Long ; Webster, Kevin ; Nutz, Marcel. In: Papers. RePEc:arx:papers:2310.14144.

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2024Regressions under Adverse Conditions. (2023). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327.

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2023Tail Risk and Systemic Risk Estimation of Cryptocurrencies: an Expectiles and Marginal Expected Shortfall based approach. (2023). Teruzzi, Andrea. In: Papers. RePEc:arx:papers:2311.17239.

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2024Optimal Portfolio Choice with Cross-Impact Propagators. (2024). Tuschmann, Sturmius ; Neuman, Eyal ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2403.10273.

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2024Asset management with an ESG mandate. (2024). Stocco, Davide ; Barucci, Emilio ; Azzone, Michele. In: Papers. RePEc:arx:papers:2403.11622.

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2024Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification. (2024). Zhao, Yimiao ; Liu, Yang ; Geng, Bingzhen. In: Papers. RePEc:arx:papers:2404.18029.

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2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012.

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2024Trade execution games in a Markovian environment. (2024). Shimoshimizu, Makoto ; Ohnishi, Masamitsu. In: Papers. RePEc:arx:papers:2405.07184.

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2024On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures. (2024). Zhang, Yiying ; Pu, Tong. In: Papers. RePEc:arx:papers:2405.07549.

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2024Financial Interactions and Capital Accumulation. (2024). Lotz, Aileen ; Gosselin, Pierre. In: Papers. RePEc:arx:papers:2405.10338.

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2024Mean-Variance Environmental Investment Optimization of Bulgarian Private Pension Funds. (2024). Beneva, Milena ; Kirov, Stoyan. In: Economic Studies journal. RePEc:bas:econst:y:2024:i:6:p:88-112.

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2023.

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2023Intermediary Market Power and Capital Constraints. (2023). Allen, Jason ; Wittwer, Milena. In: Staff Working Papers. RePEc:bca:bocawp:23-51.

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2024Decomposing Large Banks’ Systemic Trading Losses. (2024). Raykov, Radoslav. In: Staff Working Papers. RePEc:bca:bocawp:24-6.

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2023Assessing the liquidity premium in the Italian bond market. (2023). Venturi, Giulio Carlo ; Drudi, Maria Ludovica. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_795_23.

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2024Portfolio decarbonisation strategies: questions and suggestions. (2024). Angelini, Paolo. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_840_24.

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2023Investor behavior under market stress:evidence from the Italian sovereign bond market. (2023). Panzarino, Onofrio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:misp_033_23.

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2023Investigating the determinants of corporate bond credit spreads in the euro area. (2023). Mirante, Pasquale ; Letta, Simone. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:misp_036_23.

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2023Volume dynamics around FOMC announcements. (2023). Zhu, Sonya. In: BIS Working Papers. RePEc:bis:biswps:1079.

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2023Crypto carry. (2023). Schrimpf, Andreas ; Todorov, Karamfil ; Schmeling, Maik. In: BIS Working Papers. RePEc:bis:biswps:1087.

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2023To lend or not to lend: the Bank of Japans ETF purchase program and securities lending. (2023). Takahashi, Koji ; Shino, Junnosuke ; Katagiri, Mitsuru. In: BIS Working Papers. RePEc:bis:biswps:1113.

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2023The cumulant risk premium. (2023). Todorov, Karamfil. In: BIS Working Papers. RePEc:bis:biswps:1128.

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2023Dealer capacity and US Treasury market functionality. (2023). Van Tassel, Peter ; Fleming, Michael ; Shachar, OR ; Nelson, Claire ; Keane, Frank ; Duffie, Darrell. In: BIS Working Papers. RePEc:bis:biswps:1138.

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2023Dollar and government bond liquidity: evidence from Korea. (2023). Lee, Jieun. In: BIS Working Papers. RePEc:bis:biswps:1145.

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2023Shorting costs and profitability of long–short strategies. (2023). Lee, Byeungjoo ; Kim, Dongcheol. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:1:p:277-316.

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2023Timing the factor zoo via deep learning: Evidence from China. (2023). Jiang, Fuwei ; Liao, Cunfei ; Ma, Tian. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:1:p:485-505.

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2023How is illiquidity priced in the Chinese stock market?. (2023). Shen, Zhiqi ; Jiang, Fuwei ; Wu, Kai ; Liu, Jun. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:1285-1320.

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2024.

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2023Predicting stock realized variance based on an asymmetric robust regression approach. (2023). He, Mengxi ; Zhang, Yaojie ; Hao, Xianfeng ; Zhao, Yuqi. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1022-1047.

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2023Microstructure and asset pricing: An insight on African frontier stock markets. (2023). Nchofoung, Tii ; Hikouatcha, Prince ; Tchoffo, Pierre Ghislain ; Bidias, Hans Patrick ; Njamen, Arsene Aurelien. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:944-987.

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2023Bondholder representatives on bank boards: A device for market discipline. (2023). Hieu, Phan Huy ; Strobel, Frank ; Lepetit, Laetitia ; Distinguin, Isabelle. In: Economic Inquiry. RePEc:bla:ecinqu:v:61:y:2023:i:3:p:738-765.

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2024Exchange rates and political uncertainty: the Brexit case. (2024). Moramarco, Graziano ; Manasse, Paolo ; Trigilia, Giulio. In: Economica. RePEc:bla:econom:v:91:y:2024:i:362:p:621-652.

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2023Sentiment?scaled CAPM and market mispricing. (2021). Han, Xiao ; Doukas, John A. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:2:p:208-243.

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More than 100 citations found, this list is not complete...

Works by Lasse Heje Pedersen:

YearTitleTypeCited
2007Liquidity and Risk Management In: American Economic Review.
[Full Text][Citation analysis]		article68
2007Liquidity and Risk Management.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 68		paper
2007Slow Moving Capital In: American Economic Review.
[Full Text][Citation analysis]		article176
2007Slow Moving Capital.(2007) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 176		paper
2007Slow Moving Capital.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 176		paper
2011How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]		article650
2007How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 650		paper
2003Modeling Sovereign Yield Spreads: A Case Study of Russian Debt In: Journal of Finance.
[Full Text][Citation analysis]		article195
2005Predatory Trading In: Journal of Finance.
[Full Text][Citation analysis]		article141
2004Predatory Trading.(2004) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 141		paper
2004Predatory Trading.(2004) In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 141		paper
2004Predatory Trading.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 141		paper
2013Value and Momentum Everywhere In: Journal of Finance.
[Full Text][Citation analysis]		article778
2013Dynamic Trading with Predictable Returns and Transaction Costs In: Journal of Finance.
[Full Text][Citation analysis]		article168
2009Dynamic Trading with Predictable Returns and Transaction Costs.(2009) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 168		paper
2009Dynamic Trading with Predictable Returns and Transaction Costs.(2009) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 168		paper
2018Efficiently Inefficient Markets for Assets and Asset Management In: Journal of Finance.
[Full Text][Citation analysis]		article56
2018Efficiently Inefficient Markets for Assets and Asset Management.(2018) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 56		paper
2015Efficiently Inefficient Markets for Assets and Asset Management.(2015) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 56		paper
2012Betting Against Beta In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper533
2014Betting against beta.(2014) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 533		article
2010Betting Against Beta.(2010) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 533		paper
2020Principal Portfolios In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2020Principal Portfolios.(2020) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 0		paper
2015Early Option Exercise: Never Say Never In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper15
2016Early option exercise: Never say never.(2016) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		article
2018Generalized Recovery In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper9
2019Generalized recovery.(2019) In: Journal of Financial Economics.
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This paper has nother version. Agregated cites: 9		article
2016Generalized Recovery.(2016) In: 2016 Meeting Papers.
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This paper has nother version. Agregated cites: 9		paper
2018Size Matters, if You Control Your Junk In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper39
2018Size matters, if you control your junk.(2018) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		article
2018Deep Value In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2018Betting Against Correlation: Testing Theories of the Low-Risk Effect In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper33
2020Betting against correlation: Testing theories of the low-risk effect.(2020) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		article
2018Risk Everywhere: Modeling and Managing Volatility In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper144
2018Risk Everywhere: Modeling and Managing Volatility.(2018) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 144		article
2003Asset Pricing with Liquidity Risk In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper1168
2004Asset Pricing with Liquidity Risk.(2004) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1168		paper
2005Asset pricing with liquidity risk.(2005) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1168		article
2004Asset Pricing with Liquidity Risk.(2004) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 1168		paper
2005Demand-Based Option Pricing In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper234
2005Demand-Based Option Pricing.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 234		paper
2009Demand-Based Option Pricing.(2009) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 234		article
2006Valuation in Over-the-Counter Markets In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper204
2006Valuation in Over-the-Counter Markets.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 204		paper
2007Valuation in Over-the-Counter Markets.(2007) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 204		article
2007Market Liquidity and Funding Liquidity In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper2355
2007Market liquidity and funding liquidity.(2007) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 2355		paper
2007Market Liquidity and Funding Liquidity.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2355		paper
2009Market Liquidity and Funding Liquidity.(2009) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2355		article
2009When Everyone Runs for the Exit In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper53
2009When Everyone Runs for the Exit.(2009) In: International Journal of Central Banking.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 53		article
2009When Everyone Runs for the Exit.(2009) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 53		paper
2010Two Monetary Tools: Interest Rates and Haircuts In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper100
2011Two Monetary Tools: Interest Rates and Haircuts.(2011) In: NBER Chapters.
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This paper has nother version. Agregated cites: 100		chapter
2010Two Monetary Tools: Interest Rates and Haircuts.(2010) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 100		paper
2010Two Monetary Tools: Interest-Rates and Haircuts.(2010) In: 2010 Meeting Papers.
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This paper has nother version. Agregated cites: 100		paper
2012Measuring Systemic Risk In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper1033
2010Measuring systemic risk.(2010) In: Working Papers (Old Series).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1033		paper
2017Measuring Systemic Risk.(2017) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 1033		article
2013Buffett’s Alpha In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper1
2013Buffetts Alpha.(2013) In: NBER Working Papers.
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2013Carry In: CEPR Discussion Papers.
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2018Carry.(2018) In: Journal of Financial Economics.
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2013Carry.(2013) In: NBER Working Papers.
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2013Market Liquidity In: Cambridge Books.
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2013Market Liquidity.(2013) In: Cambridge Books.
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2011Monitoring Leverage In: Cowles Foundation Discussion Papers.
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2012Monitoring Leverage.(2012) In: NBER Chapters.
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2005Over-the-Counter Markets In: Econometrica.
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2004Over-the-Counter Markets.(2004) In: NBER Working Papers.
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2004Valuation in Dynamic Bargaining Markets In: Econometric Society 2004 North American Winter Meetings.
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2016Dynamic portfolio choice with frictions In: Journal of Economic Theory.
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2012Time series momentum In: Journal of Financial Economics.
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2021Responsible investing: The ESG-efficient frontier In: Journal of Financial Economics.
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2002Securities lending, shorting, and pricing In: Journal of Financial Economics.
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2012How to Calculate Systemic Risk Surcharges In: NBER Chapters.
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2009Carry Trades and Currency Crashes In: NBER Chapters.
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2008Carry Trades and Currency Crashes.(2008) In: NBER Working Papers.
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2011Margin-Based Asset Pricing and Deviations from the Law of One Price In: NBER Working Papers.
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2011Margin-based Asset Pricing and Deviations from the Law of One Price.(2011) In: The Review of Financial Studies.
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2012Embedded Leverage In: NBER Working Papers.
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2022Embedded Leverage.(2022) In: The Review of Asset Pricing Studies.
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2021Is There A Replication Crisis In Finance? In: NBER Working Papers.
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2006Liquidity and Asset Prices In: Foundations and Trends(R) in Finance.
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2005Liquidity and Asset Prices.(2005) In: MPRA Paper.
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2019Economics with Market Liquidity Risk In: Critical Finance Review.
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2004Adverse Selection and the Required Return In: The Review of Financial Studies.
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2015Introduction In: Introductory Chapters.
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2015Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined In: Economics Books.
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2019Quality minus junk In: Review of Accounting Studies.
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2013TAXING SYSTEMIC RISK In: World Scientific Book Chapters.
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