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Home » Events » Webinar: Professor Lasse H. Pedersen, Copenhagen Business School and NYU and a principal at AQR

Webinar: Professor Lasse H. Pedersen, Copenhagen Business School and NYU and a principal at AQR

28 March 2022 | 16:00 - 17:00

Introduction: ”Is there a Replication Crisis in Finance?”

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 majority of asset pricing factors: (1) can be replicated, (2) can be clustered into 13 themes, the majority of which are significant parts of the tangency portfolio, (3) work out of sample in a new large data set covering 93 countries, and (4) have evidence that is strengthened (not weakened) by the large number of observed factors.

About the presenter

Lasse H. Pedersen is a financial economist who loves to solve real-world problems using models and data. A Stanford PhD, he is a finance professor at Copenhagen Business School and NYU and a principal at AQR. He has served as Director of the American Finance Association, in the Liquidity Working Group meeting at the Federal Reserve Bank of New York to address liquidity issues, on the Economic Advisory Boards of NASDAQ and FTSE, and on several editorial boards, including the Journal of Finance and Quarterly Journal of Economics. His academic awards include the Bernácer Prize to the best E.U. economist under 40 years of age, the Banque de France-TSE Prize, the Stephen A. Ross Prize, Fama-DFA Prizes, the Michael Brennan Award, the Brattle Prize, and the Graham and Dodd Award.

Speaker: Professor Lasse H. Pedersen, Copenhagen Business School and NYU and a principal at AQR
Date: 28 March 2022, 16.00-17.00h CET
To register please click here

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  • About
    • About Inquire Europe
    • Our Board
    • Committees
    • Honorary members
    • Sister organisations
    • CQA
  • News
  • Membership
    • Membership
    • Our members
    • Membership fee
    • Registration form
    • Young Professionals Program
    • Guest program
  • Seminars / Webinars
    • Seminars / Webinars
    • Future seminars
    • Previous seminars
  • Research
    • Research
    • Call for research proposals
    • Call for papers
    • Research Published in Top Finance Journals
    • Finished research projects
    • Projects under development
  • Awards
  • Contact