Education
Stanford University.
Stanford University.
He is the John A. Paulson Professor of Finance and Alternative Investments at the New York University Stern School of Business. He has also served in the monetary policy panel and liquidity working group at the Federal Reserve Bank of New York and is a principal at AQR Capital Management. After completing his bachelor"s and master"s degrees in mathematics and economics at the University of Copenhagen in 1997, he went to Stanford University and earned a Doctor of Philosophy in finance in 2001.
Upon graduation he started as assistant professor at the New York University Stern School of Business where he got tenure in 2005 and now holds a position as chaired professor
His research has been cited by central bankers such as Federation Chairman Bernanke and in the press, including The Economist, New York Times, Forbes, and Financial Times. Lasse H. Pedersen"s research shows that investors need to be compensated for incurring trading costs and the risk of rising trading costs.
Therefore, securities with higher market liquidity risk have higher required return, as per the liquidity-adjusted CAPM. Further, many investors face funding constraints (eg, leverage constraints and margin requirements), and funding liquidity problems affect security prices. Funding constraints raise the required return for securities with high margin requirements or low risk.
His research shows how the interaction between market and funding liquidity risk can create liquidity spirals and liquidity crises.
Liquidity problems affect the macro economy and imply that monetary authorities can manage leverage and margin requirements as a second monetary tool.