Details about George M. Constantinides
Access statistics for papers by George M. Constantinides.
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Short-id: pco144
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Working Papers
2021
- Welfare Costs of Idiosyncratic and Aggregate Consumption Shocks
NBER Working Papers, National Bureau of Economic Research, Inc
2017
- Mispriced Index Option Portfolios
NBER Working Papers, National Bureau of Economic Research, Inc 
See also Journal Article in Financial Management (2020)
- The Past, Present, and Future of Economics: A Celebration of the 125-Year Anniversary of the JPE and of Chicago Economics
Natural Field Experiments, The Field Experiments Website View citations (3)
- What Information Drives Asset Prices?
NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
2015
- Asset Pricing with Countercyclical Household Consumption Risk
2015 Meeting Papers, Society for Economic Dynamics View citations (1)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (19)
See also Journal Article in Journal of Finance (2017)
- The Supply and Demand of S&P 500 Put Options
NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
See also Journal Article in Critical Finance Review (2021)
2014
- Prices, Consumption, and Dividends Over the Business Cycle: A Tale of Two Regimes
NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
2012
- The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth
2012 Meeting Papers, Society for Economic Dynamics 
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (6)
- The Puzzle of Index Option Returns
Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz View citations (15)
Also in Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz (2011) View citations (3)
See also Journal Article in The Review of Asset Pricing Studies (2013)
2010
- Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence
NBER Working Papers, National Bureau of Economic Research, Inc 
Also in CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) (2008) 
See also Journal Article in Journal of Finance (2011)
2008
- Asset Pricing Tests with Long Run Risks in Consumption Growth
NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
Also in FMG Discussion Papers, Financial Markets Group (2008) View citations (7) LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2008) View citations (7)
See also Journal Article in The Review of Asset Pricing Studies (2011)
- Mispricing of S&P 500 Index Options
NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
Also in CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) (2005) View citations (2)
See also Journal Article in Review of Financial Studies (2009)
2007
- Option Pricing: Real and Risk-Neutral Distributions
MPRA Paper, University Library of Munich, Germany View citations (10)
Also in CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) (2005) View citations (1)
2005
- Junior is Rich: Bequests as Consumption
NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
See also Journal Article in Economic Theory (2007)
- Market Oganization and the prices of financial Assets
Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group 
See also Journal Article in Manchester School (2006)
2002
- Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence
NBER Working Papers, National Bureau of Economic Research, Inc View citations (207)
Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (19) CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago (1999) View citations (19) NBER Working Papers, National Bureau of Economic Research, Inc (1999) View citations (30)
See also Journal Article in Journal of Political Economy (2002)
- Junior Must Pay: Pricing the Implicit Put in Privatizing Social Security
NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
See also Journal Article in Annals of Finance (2005)
- Rational Asset Prices
NBER Working Papers, National Bureau of Economic Research, Inc View citations (49)
- Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs
NBER Working Papers, National Bureau of Economic Research, Inc View citations (25)
See also Journal Article in Journal of Economic Dynamics and Control (2002)
1998
- Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle
NBER Working Papers, National Bureau of Economic Research, Inc View citations (26)
Also in Working Papers, Columbia - Graduate School of Business (1997) View citations (4) 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
- Time Nonseparability in Aggregate Consumption: International Evidence
NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
See also Journal Article in European Economic Review (1993)
1991
- Habit Persistence and Durability in Aggregate Consumption: Empirical Tests
NBER Working Papers, National Bureau of Economic Research, Inc View citations (207)
See also Journal Article in Journal of Financial Economics (1991)
1990
- Habit formation: a resolution of the equity premium puzzle
Levine's Working Paper Archive, David K. Levine View citations (999)
See also Journal Article in Journal of Political Economy (1990)
1983
- 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 View citations (3)
See also Journal Article in Journal of Finance (1982)
- Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns
NBER Working Papers, National Bureau of Economic Research, Inc View citations (44)
See also Journal Article in Journal of Financial Economics (1984)
Undated
- 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)
- 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
See also Journal Article in Finance and Stochastics (1999)
Journal Articles
2021
- Mispricing of Index Options with Respect to Stochastic Dominance Bounds? A Reply
Critical Finance Review, 2021, 10, (1), 57-63
- The Supply and Demand of S&P 500 Put Options
Critical Finance Review, 2021, 10, (1), 1-20 
See also Working Paper (2015)
2020
- Mispriced index option portfolios
Financial Management, 2020, 49, (2), 297-330 View citations (7)
See also Working Paper (2017)
2017
- Asset Pricing with Countercyclical Household Consumption Risk
Journal of Finance, 2017, 72, (1), 415-460 View citations (25)
See also Working Paper (2015)
- Asset Pricing: Models and Empirical Evidence
Journal of Political Economy, 2017, 125, (6), 1782 - 1790 View citations (2)
2013
- The Puzzle of Index Option Returns
The Review of Asset Pricing Studies, 2013, 3, (2), 229-257 View citations (35)
See also Working Paper (2012)
2011
- Are Options on Index Futures Profitable for Risk‐Averse Investors? Empirical Evidence
Journal of Finance, 2011, 66, (4), 1407-1437 View citations (25)
See also Working Paper (2010)
- Asset Pricing Tests with Long-run Risks in Consumption Growth
The Review of Asset Pricing Studies, 2011, 1, (1), 96-136 View citations (62)
See also Working Paper (2008)
2009
- Mispricing of S&P 500 Index Options
Review of Financial Studies, 2009, 22, (3), 1247-1277 View citations (39)
Also in Review of Financial Studies, 2009, 22, (3), 1247-1277 (2009) View citations (36)
See also Working Paper (2008)
2007
- Junior is rich: bequests as consumption
Economic Theory, 2007, 32, (1), 125-155 View citations (15)
See also Working Paper (2005)
2006
- MARKET ORGANIZATION AND THE PRICES OF FINANCIAL ASSETS*
Manchester School, 2006, 74, (s1), 1-23 
See also Working Paper (2005)
2005
- Junior must pay: pricing the implicit put in privatizing Social Security
Annals of Finance, 2005, 1, (1), 1-34 View citations (7)
See also Working Paper (2002)
2002
- Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence
Journal of Political Economy, 2002, 110, (4), 793-824 View citations (202)
See also Working Paper (2002)
- Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle
The Quarterly Journal of Economics, 2002, 117, (1), 269-296 View citations (228)
See also Working Paper (1998)
- 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 View citations (29)
See also Working Paper (2002)
2001
- Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities
Mathematical Finance, 2001, 11, (3), 331-346 View citations (27)
See also Working Paper
- Merton H. Miller
Journal of Finance, 2001, 56, (4), 1177-1177
1999
- 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 View citations (38)
See also Working Paper
1997
- Transaction Costs and the Pricing of Financial Assets
Multinational Finance Journal, 1997, 1, (2), 93-99 View citations (6)
1996
- Asset Pricing with Heterogeneous Consumers
Journal of Political Economy, 1996, 104, (2), 219-40 View citations (659)
1993
- Time nonseparability in aggregate consumption: International evidence
European Economic Review, 1993, 37, (5), 897-920 View citations (55)
See also Working Paper (1992)
1992
- A Theory of the Nominal Term Structure of Interest Rates
Review of Financial Studies, 1992, 5, (4), 531-52 View citations (154)
1991
- Habit persistence and durability in aggregate consumption: Empirical tests
Journal of Financial Economics, 1991, 29, (2), 199-240 View citations (271)
See also Working Paper (1991)
1990
- Habit Formation: A Resolution of the Equity Premium Puzzle
Journal of Political Economy, 1990, 98, (3), 519-43 View citations (1004)
See also Working Paper (1990)
1988
- Optimal Population Growth and the Social Welfare Function
Eastern Economic Journal, 1988, 14, (3), 229-238 View citations (2)
1986
- Capital Market Equilibrium with Transaction Costs
Journal of Political Economy, 1986, 94, (4), 842-62 View citations (370)
See also Chapter (2005)
1985
- Debt and Taxes and Uncertainty: Discussion
Journal of Finance, 1985, 40, (3), 657-58
- The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence: Discussion
Journal of Finance, 1985, 40, (3), 791-92 View citations (14)
1984
- Optimal bond trading with personal taxes
Journal of Financial Economics, 1984, 13, (3), 299-335 View citations (51)
See also Chapter (2005)
- Optimal stock trading with personal taxes: Implications for prices and the abnormal January returns
Journal of Financial Economics, 1984, 13, (1), 65-89 View citations (111)
See also Working Paper (1983)
- Strategic analysis of the competitive exercise of certain financial options
Journal of Economic Theory, 1984, 32, (1), 128-138 View citations (8)
- Warrant exercise and bond conversion in competitive markets
Journal of Financial Economics, 1984, 13, (3), 371-397 View citations (17)
1983
- Capital Market Equilibrium with Personal Tax
Econometrica, 1983, 51, (3), 611-36 View citations (121)
1982
- Intertemporal Asset Pricing with Heterogeneous Consumers and without Demand Aggregation
The Journal of Business, 1982, 55, (2), 253-67 View citations (144)
- 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 View citations (5)
See also Working Paper (1983)
- To Pay or Not to Pay Dividend: Discussion
Journal of Finance, 1982, 37, (2), 470-72
1980
- Admissible uncertainty in the intertemporal asset pricing model
Journal of Financial Economics, 1980, 8, (1), 71-86 View citations (14)
- Optimal Liquidation of Assets in the Presence of Personal Taxes: Implications for Asset Pricing
Journal of Finance, 1980, 35, (2), 439-49 View citations (19)
1979
- A Note on the Suboptimality of Dollar-Cost Averaging as an Investment Policy
Journal of Financial and Quantitative Analysis, 1979, 14, (2), 443-450 View citations (18)
- Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
Management Science, 1979, 25, (11), 1127-1137 View citations (50)
1978
- Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time
Operations Research, 1978, 26, (4), 620-636 View citations (47)
- Market Risk Adjustment in Project Valuation
Journal of Finance, 1978, 33, (2), 603-16 View citations (59)
1976
- 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
- Comment on Chen, Kim and Kon
Journal of Financial Economics, 1976, 3, (3), 295-296 View citations (1)
- Note--Optimal Portfolio Revision with Proportional Transaction Costs: Extension to Hara Utility Functions and Exogenous Deterministic Income
Management Science, 1976, 22, (8), 921-923 View citations (3)
- Portfolio selection with transactions costs
Journal of Economic Theory, 1976, 13, (2), 245-263 View citations (133)
- Stochastic Cash Management with Fixed and Proportional Transaction Costs
Management Science, 1976, 22, (12), 1320-1331 View citations (25)
Books
2015
- Financial Derivatives:Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps
World Scientific Books, World Scientific Publishing Co. Pte. Ltd.
Edited books
2013
- Handbook of the Economics of Finance, vol 2, Part B
Handbook of the Economics of Finance, Elsevier View citations (609)
- Handbook of the Economics of Finance, vol 2, Part A
Handbook of the Economics of Finance, Elsevier View citations (609)
2005
- Theory of Valuation
World Scientific Books, World Scientific Publishing Co. Pte. Ltd. View citations (1)
2003
- Handbook of the Economics of Finance, vol 1, Part 2
Handbook of the Economics of Finance, Elsevier View citations (929)
- Handbook of the Economics of Finance, vol 1, Part 1
Handbook of the Economics of Finance, Elsevier View citations (929)
2001
- Options Markets, vol Three volume set
Books, Edward Elgar Publishing View citations (1)
Chapters
2015
- Binomial Option Pricing
Chapter 7 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 107-122
- Corporate Securities and Credit Risk
Chapter 13 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 197-219
- Empirical Evidence and Fixes
Chapter 12 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 179-195
- Interest Rate and Currency Swaps
Chapter 3 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 39-60
- Introduction to Forward and Futures Contracts
Chapter 1 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 1-12
- Introduction to Options and No-Arbitrage Restrictions
Chapter 4 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 61-79
- Optimal Early Exercise of American Options
Chapter 6 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 95-105
- Options on Futures
Chapter 10 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 151-160
- Pricing Forwards and Futures
Chapter 2 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 13-37
- Risk Management
Chapter 11 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 161-178
- The Black–Scholes–Merton Option Pricing Formula
Chapter 9 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 139-150
- Trading Strategies and Slope and Convexity Restrictions
Chapter 5 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 81-94
- Using the Binomial Model
Chapter 8 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 123-137
2005
- Capital Market Equilibrium with Transaction Costs
Chapter 7 in Theory Of Valuation, 2005, pp 207-227 View citations (1)
See also Journal Article in Journal of Political Economy (1986)
- OPTIMAL BOND TRADING WITH PERSONAL TAXES
Chapter 6 in Theory Of Valuation, 2005, pp 165-206 View citations (1)
See also Journal Article in Journal of Financial Economics (1984)
- Theory of Valuation: Overview and Recent Developments
Chapter 1 in Theory Of Valuation, 2005, pp 1-23
Editor
- Handbook of the Economics of Finance
Elsevier
- Handbook of the Economics of Finance
Elsevier
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