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Details about George M. Constantinides

E-mail:
Homepage:http://faculty.chicagogsb.edu/george.constantinides/index.htm
Phone:(773) 702-7258
Postal address:The University of Chicago Booth School of Business 5807 South Woodlawn Avenue Chicago IL 60637
Workplace:Booth School of Business, University of Chicago, (more information at EDIRC)

Access statistics for papers by George M. Constantinides.

Last updated 2016-11-14. Update your information in the RePEc Author Service.

Short-id: pco144


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Working Papers

2015

  1. Asset Pricing with Countercyclical Household Consumption Risk
    2015 Meeting Papers, Society for Economic Dynamics Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) Downloads View citations (9)
  2. The Supply and Demand of S&P 500 Put Options
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2014

  1. Prices, Consumption, and Dividends Over the Business Cycle: A Tale of Two Regimes
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2012

  1. The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth
    2012 Meeting Papers, Society for Economic Dynamics Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) Downloads View citations (5)
  2. The Puzzle of Index Option Returns
    Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz Downloads View citations (13)
    Also in Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz (2011) Downloads View citations (3)

2010

  1. Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Journal of Finance (2011)

2008

  1. Asset Pricing Tests with Long Run Risks in Consumption Growth
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    Also in FMG Discussion Papers, Financial Markets Group (2008) Downloads View citations (3)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2008) Downloads View citations (1)
  2. Mispricing of S&P 500 Index Options
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    See also Journal Article in Review of Financial Studies (2009)

2007

  1. Option Pricing: Real and Risk-Neutral Distributions
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)

2005

  1. Junior is Rich: Bequests as Consumption
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article in Economic Theory (2007)
  2. Market Oganization and the prices of financial Assets
    Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group Downloads
    See also Journal Article in Manchester School (2006)

2002

  1. Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (114)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1999) Downloads View citations (26)
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago (1999) Downloads View citations (17)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research Downloads View citations (17)

    See also Journal Article in Journal of Political Economy (2002)
  2. Junior Must Pay: Pricing the Implicit Put in Privatizing Social Security
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    See also Journal Article in Annals of Finance (2005)
  3. Rational Asset Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (38)
    See also Journal Article in Journal of Finance (2002)
  4. Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (13)
    See also Journal Article in Journal of Economic Dynamics and Control (2002)

1998

  1. Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (22)
    Also in Working Papers, Columbia - Graduate School of Business (1997) View citations (3)
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago View citations (2)

    See also Journal Article in The Quarterly Journal of Economics (2002)

1992

  1. Asset pricing with heterogeneous consumers
    Discussion Paper Serie A, University of Bonn, Germany View citations (10)
    See also Journal Article in Journal of Political Economy (1996)
  2. Time Nonseparability in Aggregate Consumption: International Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
    See also Journal Article in European Economic Review (1993)

1991

  1. Habit Persistence and Durability in Aggregate Consumption: Empirical Tests
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (87)
    See also Journal Article in Journal of Financial Economics (1991)

1990

  1. Habit formation: a resolution of the equity premium puzzle
    Levine's Working Paper Archive, David K. Levine Downloads View citations (700)
    See also Journal Article in Journal of Political Economy (1990)

1983

  1. Optimal Bond Trading with Personal Taxes: Implications for Bond Prices and Estimated Tax Brackets and Yield Curves
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Journal of Finance (1982)
  2. Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (45)
    See also Journal Article in Journal of Financial Economics (1984)

Undated

  1. Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities."
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago View citations (2)
    See also Journal Article in Mathematical Finance (2001)
  2. Bounds on Prices of Contingent Claims in an Intertemporal Economy with Proportional Transaction Costs and General Preferences
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago View citations (2)
    See also Journal Article in Finance and Stochastics (1999)

Journal Articles

2011

  1. Are Options on Index Futures Profitable for Risk‐Averse Investors? Empirical Evidence
    Journal of Finance, 2011, 66, (4), 1407-1437 View citations (12)
    See also Working Paper (2010)

2009

  1. Mispricing of S&P 500 Index Options
    Review of Financial Studies, 2009, 22, (3), 1247-1277 Downloads View citations (9)
    See also Working Paper (2008)

2007

  1. Junior is rich: bequests as consumption
    Economic Theory, 2007, 32, (1), 125-155 Downloads View citations (12)
    See also Working Paper (2005)

2006

  1. MARKET ORGANIZATION AND THE PRICES OF FINANCIAL ASSETS
    Manchester School, 2006, 74, (s1), 1-23 Downloads
    See also Working Paper (2005)

2005

  1. Junior must pay: pricing the implicit put in privatizing Social Security
    Annals of Finance, 2005, 1, (1), 1-34 Downloads View citations (5)
    See also Working Paper (2002)

2002

  1. Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence
    Journal of Political Economy, 2002, 110, (4), 793-824 Downloads View citations (128)
    See also Working Paper (2002)
  2. Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle
    The Quarterly Journal of Economics, 2002, 117, (1), 269-296 Downloads View citations (163)
    See also Working Paper (1998)
  3. Rational Asset Prices
    Journal of Finance, 2002, 57, (4), 1567-1591 Downloads View citations (38)
    See also Working Paper (2002)
  4. Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs
    Journal of Economic Dynamics and Control, 2002, 26, (7-8), 1323-1352 Downloads View citations (16)
    See also Working Paper (2002)

2001

  1. Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities
    Mathematical Finance, 2001, 11, (3), 331-346 Downloads View citations (10)
    See also Working Paper
  2. Merton H. Miller (Editor's Note)
    Journal of Finance, 2001, 56, (4), 1177-1177 Downloads

1999

  1. Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
    Finance and Stochastics, 1999, 3, (3), 345-369 Downloads View citations (27)
    See also Working Paper

1997

  1. Transaction Costs and the Pricing of Financial Assets
    Multinational Finance Journal, 1997, 1, (2), 93-99 Downloads View citations (1)

1996

  1. Asset Pricing with Heterogeneous Consumers
    Journal of Political Economy, 1996, 104, (2), 219-40 Downloads View citations (437)
    See also Working Paper (1992)

1993

  1. Time nonseparability in aggregate consumption: International evidence
    European Economic Review, 1993, 37, (5), 897-920 Downloads View citations (50)
    See also Working Paper (1992)

1992

  1. A Theory of the Nominal Term Structure of Interest Rates
    Review of Financial Studies, 1992, 5, (4), 531-52 Downloads View citations (129)

1991

  1. Habit persistence and durability in aggregate consumption: Empirical tests
    Journal of Financial Economics, 1991, 29, (2), 199-240 Downloads View citations (212)
    See also Working Paper (1991)

1990

  1. Habit Formation: A Resolution of the Equity Premium Puzzle
    Journal of Political Economy, 1990, 98, (3), 519-43 Downloads View citations (689)
    See also Working Paper (1990)

1988

  1. Optimal Population Growth and the Social Welfare Function
    Eastern Economic Journal, 1988, 14, (3), 229-238 Downloads

1986

  1. Capital Market Equilibrium with Transaction Costs
    Journal of Political Economy, 1986, 94, (4), 842-62 Downloads View citations (244)
    See also Chapter (2005)

1985

  1. Debt and Taxes and Uncertainty: Discussion
    Journal of Finance, 1985, 40, (3), 657-58 Downloads
  2. The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence: Discussion
    Journal of Finance, 1985, 40, (3), 791-92 Downloads View citations (14)

1984

  1. Optimal bond trading with personal taxes
    Journal of Financial Economics, 1984, 13, (3), 299-335 Downloads View citations (43)
    See also Chapter (2005)
  2. Optimal stock trading with personal taxes: Implications for prices and the abnormal January returns
    Journal of Financial Economics, 1984, 13, (1), 65-89 Downloads View citations (82)
    See also Working Paper (1983)
  3. Strategic analysis of the competitive exercise of certain financial options
    Journal of Economic Theory, 1984, 32, (1), 128-138 Downloads View citations (7)
  4. Warrant exercise and bond conversion in competitive markets
    Journal of Financial Economics, 1984, 13, (3), 371-397 Downloads View citations (12)

1983

  1. Capital Market Equilibrium with Personal Tax
    Econometrica, 1983, 51, (3), 611-36 Downloads View citations (94)

1982

  1. Intertemporal Asset Pricing with Heterogeneous Consumers and without Demand Aggregation
    The Journal of Business, 1982, 55, (2), 253-67 Downloads View citations (98)
  2. Optimal Bond Trading with Personal Tax: Implications for Bond Prices and Estimated Tax Brackets and Yield Curves
    Journal of Finance, 1982, 37, (2), 349-52 Downloads View citations (5)
    See also Working Paper (1983)
  3. To Pay or Not to Pay Dividend: Discussion
    Journal of Finance, 1982, 37, (2), 470-72 Downloads

1980

  1. Admissible uncertainty in the intertemporal asset pricing model
    Journal of Financial Economics, 1980, 8, (1), 71-86 Downloads View citations (12)
  2. Optimal Liquidation of Assets in the Presence of Personal Taxes: Implications for Asset Pricing
    Journal of Finance, 1980, 35, (2), 439-49 Downloads View citations (15)

1979

  1. A Note on the Suboptimality of Dollar-Cost Averaging as an Investment Policy
    Journal of Financial and Quantitative Analysis, 1979, 14, (02), 443-450 Downloads View citations (13)
  2. Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
    Management Science, 1979, 25, (11), 1127-1137 Downloads View citations (29)

1978

  1. Market Risk Adjustment in Project Valuation
    Journal of Finance, 1978, 33, (2), 603-16 Downloads View citations (41)

1976

  1. Cash management: An inventory control limit approach: Richard Homonoff and David Wiley Mullins, Jr., (D.C. Heath, Lexington, 1975) pp. xv + 104
    Journal of Financial Economics, 1976, 3, (3), 299-300 Downloads
  2. Comment on Chen, Kim and Kon
    Journal of Financial Economics, 1976, 3, (3), 295-296 Downloads View citations (1)
  3. Note--Optimal Portfolio Revision with Proportional Transaction Costs: Extension to Hara Utility Functions and Exogenous Deterministic Income
    Management Science, 1976, 22, (8), 921-923 Downloads View citations (3)
  4. Portfolio selection with transactions costs
    Journal of Economic Theory, 1976, 13, (2), 245-263 Downloads View citations (84)
  5. Stochastic Cash Management with Fixed and Proportional Transaction Costs
    Management Science, 1976, 22, (12), 1320-1331 Downloads View citations (12)

Books

2015

  1. Financial Derivatives:Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps
    World Scientific Books, World Scientific Publishing Co. Pte. Ltd. Downloads

Edited books

2013

  1. Handbook of the Economics of Finance, vol 2, Part A
    Handbook of the Economics of Finance, Elsevier Downloads View citations (10)
  2. Handbook of the Economics of Finance, vol 2, Part B
    Handbook of the Economics of Finance, Elsevier Downloads View citations (10)

2005

  1. Theory of Valuation
    World Scientific Books, World Scientific Publishing Co. Pte. Ltd. Downloads

2003

  1. Handbook of the Economics of Finance, vol 1, Part 1
    Handbook of the Economics of Finance, Elsevier Downloads View citations (28)
  2. Handbook of the Economics of Finance, vol 1, Part 2
    Handbook of the Economics of Finance, Elsevier Downloads View citations (28)

2001

  1. Options Markets, vol Three volume set
    Books, Edward Elgar Publishing Downloads View citations (1)

Chapters

2005

  1. Capital Market Equilibrium with Transaction Costs
    Chapter 7 in Theory Of Valuation, 2005, pp 207-227 Downloads
    See also Journal Article in Journal of Political Economy (1986)
  2. OPTIMAL BOND TRADING WITH PERSONAL TAXES
    Chapter 6 in Theory Of Valuation, 2005, pp 165-206 Downloads View citations (1)
    See also Journal Article in Journal of Financial Economics (1984)
  3. Theory of Valuation: Overview and Recent Developments
    Chapter 1 in Theory Of Valuation, 2005, pp 1-23 Downloads

Editor

  1. Handbook of the Economics of Finance
    Elsevier
  2. Handbook of the Economics of Finance
    Elsevier
 
Page updated 2017-08-19