Lasse Heje Pedersen

Lasse Heje Pedersen is a Danish finance professor at Copenhagen Business School and New York University's Stern School, and a principal at AQR Capital Management. His academic work has focused on market liquidity, funding constraints, and their effects on asset prices. His liquidity-adjusted CAPM (L-CAPM) extended the traditional asset pricing model to account for liquidity risk. His book "Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined" (2015) provides a comprehensive and accessible overview of how major hedge fund strategies work, from global macro to statistical arbitrage. Pedersen's research has helped explain theoretically why factor premia — such as value, momentum, and carry — persist in liquid markets despite being well-known, through the lens of funding constraints and limits to arbitrage.