Lasse Heje Pedersen is a finance professor and principal at AQR Capital Management, known for research on market microstructure, liquidity, and leverage constraints in asset pricing.
Key contributions
- Betting Against Beta (2014, with Frazzini): developed the leverage-constraint model explaining the flat security market line
- Liquidity risk and asset pricing: contributions to understanding how funding and market liquidity affect asset prices (with Brunnermeier, “Market Liquidity and Funding Liquidity,” 2009)
- Efficiently Inefficient (2015): book synthesizing how active management, market microstructure, and equilibrium interact
- Quality Minus Junk (2019, with Asness and Frazzini): co-developed the QMJ factor
Affiliations
- Copenhagen Business School (Professor of Finance)
- New York University Stern School of Business
- AQR Capital Management (Principal)
- NBER, CEPR