44th CARF Seminar：Value and Deep Value

Friday, April 19, 2019　11：30-13：30

Conference room, 2F of Economics Research Annex (Kojima Hall)

https://www.carf.e.u-tokyo.ac.jp/en/access/#campusmap

Lasse Heje Pedersen, Ph.D.
（Principal, AQR Capital Management
Professor, Copenhagen Business School
Professor, Stern School of Business, New York University）

In light of multiple years of underperformance, we restate the evidence for the value factor. Value is the phenomenon in which securities that appear cheap, on average, outperform securities that appear to be expensive. The value premium is the return achieved by buying cheap assets and selling expensive ones. We document its existence across asset classes as a well-established fact, then ask whether value might perform better when markets appear truly dislocated and exceptional opportunities seem to abound – times when extraordinary market forces push prices very far from fair value. We show what really happens during such “deep value” opportunities, but also note that, all too often, market dislocations fail to turn into profitable investments as many investors find themselves unable to take action; and those who do are often forced out of positions at the worst possible time. Why does this happen and is there a solution for investors looking to turn regret into profit?

Lasse Pedersen is a Principal at AQR Capital Management, where he focuses on research on global investment strategies. He is also a finance professor at Copenhagen Business School and New York University’s Stern School of Business. Lasse has served on the board of the American Finance Association, the Economic Advisory Boards of NASDAQ OMX and FTSE, and the Federal Reserve Bank of New York’s Monetary Policy Panel. Lasse was awarded the Bernácer Prize for the best European economist under 40, the Banque de France-TSE Prize in Monetary Economics and Finance, and an Elite Research Prize to outstanding researchers under 45. His research has been published in leading journals and cited by central bank governors. Lasse has served on the editorial boards of several journals, including The Journal of Finance, and as a research associate at the National Bureau of Economic Research and the Centre for Economic Policy Research. He is the author of Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined. He earned a B.S. and an M.S. in mathematics-economics from the University of Copenhagen and a Ph.D. in finance from Stanford University.

Japan Secrities Rsearch Institute