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Asset pricing with liquidity risk

Acharya, Viral V.; Pedersen, Lasse Heje - In: Journal of financial economics 77 (2005) 2, pp. 375-410

Persistent link: https://www.econbiz.de/10003052543

Enhanced portfolio optimization

Pedersen, Lasse Heje; Babu, Abhilash; Levine, Ari - In: Financial analysts journal : FAJ 77 (2021) 2, pp. 124-151

Persistent link: https://www.econbiz.de/10012515354

Responsible investing : the ESG-efficient frontier

Pedersen, Lasse Heje; Fitzgibbons, Shaun; Pomorski, Lukasz - In: Journal of financial economics 142 (2021) 2, pp. 572-597

Persistent link: https://www.econbiz.de/10013259952

Embedded leverage

Frazzini, Andrea; Pedersen, Lasse Heje - In: Review of asset pricing studies : RAPS 12 (2022) 1, pp. 1-52

Persistent link: https://www.econbiz.de/10012878804

Is There a Replication Crisis in Finance?

Jensen, Theis Ingerslev; Kelly, Bryan T.; Pedersen, … - 2021

Several papers argue that financial economics faces a replication crisis because the majority of studies cannot be replicated or are the result of multiple testing of too many factors. We develop and estimate a Bayesian model of factor replication, which leads to different conclusions. The...

Persistent link: https://www.econbiz.de/10013243289