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Working Paper

Risk Everywhere: Modeling and Managing Volatility

January 26, 2016 - Tim Bollerslev Benjamin Hood John J. Huss Lasse H. Pedersen

This paper finds similarities in realized volatility patterns across assets and asset classes, based on a high-frequency dataset for more than 50 commodities, currencies, equity indices and fixed income instruments spanning more than two decades.

Working Paper

Repeated Auctions With Endogenous Selling

February 1, 2003 - Nicolae Gârleanu Lasse H. Pedersen

Auction theory studies the expected revenue to an owner committed to selling—as when a government sells an oil field, where the sale decision is unrelated to its quality. This paper addresses questions raised by auctions where owners choose to sell.

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.

Interview

Words From the Wise: Robert Engle on Portfolio Management

October 2, 2017 - Antti Ilmanen Lasse H. Pedersen Rodney N. Sullivan

This issue of "Words from the Wise" features an interview with Robert Engle, Nobel prize winner and father of risk modeling. Engle discusses his breakthrough research on analyzing economic time series with time-varying volatility.

Working Paper

Carry Trades and Currency Crashes

November 1, 2008 - Markus K. Brunnermeier Stefan Nagel Lasse H. Pedersen

Is there a strong link between a currency carry strategy and crash risk? We find that investing in high-interest-rate currencies while borrowing in low-interest-rate currencies delivers negatively skewed returns.

Journal Article

Size Matters, If You Control Your Junk

January 22, 2015 - Cliff Asness Andrea Frazzini Ronen Israel Tobias J. Moskowitz Lasse H. Pedersen

When it comes to equity investing, size matters—and in a bigger way than once thought—but only when controlling for junk. We examine seven challenges that have been hurled at the size effect and dismantle each one by controlling for a firm's quality.

Journal Article

When Everyone Runs for the Exit

January 1, 2009 - Lasse H. Pedersen

The severe consequences for the global economy brought about by the 2008 liquidity crisis highlight the importance of liquidity risk.

Journal Article

Which Trend Is Your Friend?

March 17, 2016 - Ari Levine Lasse H. Pedersen

The academic literature and real-world investors have put forth a whole host of strategies that on the surface appear unique but that are all related to trend-following at a high level.

Journal Article

Demand-Based Option Pricing

February 25, 2009 - Nicolae Gârleanu Lasse H. Pedersen Allen M Poteshman

Index and equity options are notoriously difficult to price.

Journal Article

Demystifying Managed Futures

February 1, 2013 - Brian K. Hurst Yao Hua Ooi Lasse H. Pedersen

Commodity trading advisors (CTAs) managed approximately $320 billion as of the end of the first quarter of 2012, running “managed futures” funds that invest long or short in futures contracts on a variety of commodities, such as metals, grains, cotton and other physical goods, as well as futures and forwards on equity indices, Treasury bonds and currencies.