Details about George M. Constantinides

E-mail:
Homepage:	http://faculty.chicagobooth.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 2021-10-04. Update your information in the RePEc Author Service.

Short-id: pco144

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Working Papers

2021

1. Welfare Costs of Idiosyncratic and Aggregate Consumption Shocks
   NBER Working Papers, National Bureau of Economic Research, Inc

2017

2. Mispriced Index Option Portfolios
   NBER Working Papers, National Bureau of Economic Research, Inc
   See also Journal Article in Financial Management (2020)
3. 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)
4. What Information Drives Asset Prices?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)

2015

5. 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)
6. 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

7. 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

8. 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)
9. 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

10. 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

11. 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)
12. 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

13. 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

14. 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)
15. 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

16. 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)
17. 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)
18. Rational Asset Prices
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (49)
19. 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

20. 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

21. 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

22. 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

23. 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

24. 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)
25. 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

26. 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)
27. 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

1. Mispricing of Index Options with Respect to Stochastic Dominance Bounds? A Reply
   Critical Finance Review, 2021, 10, (1), 57-63
2. The Supply and Demand of S&P 500 Put Options
   Critical Finance Review, 2021, 10, (1), 1-20
   See also Working Paper (2015)

2020

3. Mispriced index option portfolios
   Financial Management, 2020, 49, (2), 297-330 View citations (7)
   See also Working Paper (2017)

2017

4. Asset Pricing with Countercyclical Household Consumption Risk
   Journal of Finance, 2017, 72, (1), 415-460 View citations (25)
   See also Working Paper (2015)
5. Asset Pricing: Models and Empirical Evidence
   Journal of Political Economy, 2017, 125, (6), 1782 - 1790 View citations (2)

2013

6. 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

7. 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)
8. 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

9. 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

10. Junior is rich: bequests as consumption
    Economic Theory, 2007, 32, (1), 125-155 View citations (15)
    See also Working Paper (2005)

2006

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

2005

12. 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

13. 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)
14. 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)
15. 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

16. 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
17. Merton H. Miller
    Journal of Finance, 2001, 56, (4), 1177-1177

1999

18. 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

19. Transaction Costs and the Pricing of Financial Assets
    Multinational Finance Journal, 1997, 1, (2), 93-99 View citations (6)

1996

20. Asset Pricing with Heterogeneous Consumers
    Journal of Political Economy, 1996, 104, (2), 219-40 View citations (659)

1993

21. Time nonseparability in aggregate consumption: International evidence
    European Economic Review, 1993, 37, (5), 897-920 View citations (55)
    See also Working Paper (1992)

1992

22. A Theory of the Nominal Term Structure of Interest Rates
    Review of Financial Studies, 1992, 5, (4), 531-52 View citations (154)

1991

23. 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

24. 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

25. Optimal Population Growth and the Social Welfare Function
    Eastern Economic Journal, 1988, 14, (3), 229-238 View citations (2)

1986

26. Capital Market Equilibrium with Transaction Costs
    Journal of Political Economy, 1986, 94, (4), 842-62 View citations (370)
    See also Chapter (2005)

1985

27. Debt and Taxes and Uncertainty: Discussion
    Journal of Finance, 1985, 40, (3), 657-58
28. 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

29. Optimal bond trading with personal taxes
    Journal of Financial Economics, 1984, 13, (3), 299-335 View citations (51)
    See also Chapter (2005)
30. 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)
31. Strategic analysis of the competitive exercise of certain financial options
    Journal of Economic Theory, 1984, 32, (1), 128-138 View citations (8)
32. Warrant exercise and bond conversion in competitive markets
    Journal of Financial Economics, 1984, 13, (3), 371-397 View citations (17)

1983

33. Capital Market Equilibrium with Personal Tax
    Econometrica, 1983, 51, (3), 611-36 View citations (121)

1982

34. Intertemporal Asset Pricing with Heterogeneous Consumers and without Demand Aggregation
    The Journal of Business, 1982, 55, (2), 253-67 View citations (144)
35. 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)
36. To Pay or Not to Pay Dividend: Discussion
    Journal of Finance, 1982, 37, (2), 470-72

1980

37. Admissible uncertainty in the intertemporal asset pricing model
    Journal of Financial Economics, 1980, 8, (1), 71-86 View citations (14)
38. 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

39. 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)
40. Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
    Management Science, 1979, 25, (11), 1127-1137 View citations (50)

1978

41. 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)
42. Market Risk Adjustment in Project Valuation
    Journal of Finance, 1978, 33, (2), 603-16 View citations (59)

1976

43. 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
44. Comment on Chen, Kim and Kon
    Journal of Financial Economics, 1976, 3, (3), 295-296 View citations (1)
45. 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)
46. Portfolio selection with transactions costs
    Journal of Economic Theory, 1976, 13, (2), 245-263 View citations (133)
47. Stochastic Cash Management with Fixed and Proportional Transaction Costs
    Management Science, 1976, 22, (12), 1320-1331 View citations (25)

Books

2015

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

Edited books

2013

1. Handbook of the Economics of Finance, vol 2, Part B
   Handbook of the Economics of Finance, Elsevier View citations (609)
2. Handbook of the Economics of Finance, vol 2, Part A
   Handbook of the Economics of Finance, Elsevier View citations (609)

2005

3. Theory of Valuation
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd. View citations (1)

2003

4. Handbook of the Economics of Finance, vol 1, Part 2
   Handbook of the Economics of Finance, Elsevier View citations (929)
5. Handbook of the Economics of Finance, vol 1, Part 1
   Handbook of the Economics of Finance, Elsevier View citations (929)

2001

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

Chapters

2015

1. Binomial Option Pricing
   Chapter 7 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 107-122
2. Corporate Securities and Credit Risk
   Chapter 13 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 197-219
3. Empirical Evidence and Fixes
   Chapter 12 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 179-195
4. Interest Rate and Currency Swaps
   Chapter 3 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 39-60
5. 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
6. 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
7. 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
8. Options on Futures
   Chapter 10 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 151-160
9. Pricing Forwards and Futures
   Chapter 2 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 13-37
10. Risk Management
    Chapter 11 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 161-178
11. 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
12. 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
13. Using the Binomial Model
    Chapter 8 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 123-137

2005

14. 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)
15. 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)
16. Theory of Valuation: Overview and Recent Developments
    Chapter 1 in Theory Of Valuation, 2005, pp 1-23

Editor

1. Handbook of the Economics of Finance
   Elsevier
2. Handbook of the Economics of Finance
   Elsevier