George M. Constantinides

University of Chicago - Booth School of Business

Leo Melamed Professor of Finance

5807 S. Woodlawn Avenue

Chicago, IL 60637

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

26

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133

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1,271

Scholarly Papers (26)

1.

The Puzzle of Index Option Returns

Fama-Miller Working Paper , Chicago Booth Research Paper No. 11-24
Number of pages: 42 Posted: 21 Oct 2009 Last Revised: 25 Sep 2012
George M. Constantinides, Jens Carsten Jackwerth and Alexi Savov
University of Chicago - Booth School of Business, University of Konstanz - Department of Economics and New York University (NYU) - Department of Finance
Downloads 964 (22,816)
Citation 17

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index option returns, option mispricing, volatility jumps, price jumps, liquidity, market efficiency

2.
Downloads 581 ( 45,767)
Citation 11

Mispricing of S&P 500 Index Options

EFA 2005 Moscow Meetings
Number of pages: 49 Posted: 24 Feb 2005
George M. Constantinides, Jens Carsten Jackwerth and Stylianos Perrakis
University of Chicago - Booth School of Business, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business
Downloads 530 (50,812)
Citation 10

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Derivative pricing; volatility smile, incomplete markets, transaction costs; index options; stochastic dominance bounds

Mispricing of S&P 500 Index Options

NBER Working Paper No. w14544
Number of pages: 50 Posted: 15 Jan 2009 Last Revised: 29 Sep 2010
George M. Constantinides, Jens Carsten Jackwerth and Stylianos Perrakis
University of Chicago - Booth School of Business, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business
Downloads 51 (391,452)

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Mispricing of S&P 500 Index Options

The Review of Financial Studies, Vol. 22, Issue 3, pp. 1247-1277, 2009
Posted: 17 Mar 2009
George M. Constantinides, Jens Carsten Jackwerth and Stylianos Perrakis
University of Chicago - Booth School of Business, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business

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Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence

Fama-Miller Working Paper , Chicago Booth Research Paper No. 11-23
Number of pages: 56 Posted: 18 Mar 2008 Last Revised: 27 Jul 2011
University of Chicago - Booth School of Business, Concordia University, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business
Downloads 381 (76,269)
Citation 5

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option mispricing, futures options, derivatives pricing, stochastic dominance, transaction costs, market efficiency

Are Options on Index Futures Profitable for Risk Averse Investorsā€˜ Empirical Evidence

Number of pages: 73 Posted: 14 Oct 2008 Last Revised: 26 Jul 2010
University of Chicago - Booth School of Business, Concordia University, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business
Downloads 178 (168,860)
Citation 1

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option mispricing, futures options, derivatives pricing, stochastic dominance, transaction costs, market efficiency

Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence

NBER Working Paper No. w16302
Number of pages: 56 Posted: 30 Aug 2010 Last Revised: 24 Jul 2014
University of Chicago - Booth School of Business, McGill University, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business
Downloads 21 (533,679)

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Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle

Center for Research in Security Prices (CRSP) Working Paper No. 457
Number of pages: 36 Posted: 03 Feb 2000
George M. Constantinides, John B. Donaldson and Rajnish Mehra
University of Chicago - Booth School of Business, Columbia Business School - Finance and Economics and Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 506 (53,893)
Citation 14

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Junior Can't Borrow: a New Perspective on the Equity Premium Puzzle

NBER Working Paper No. w6617
Number of pages: 36 Posted: 26 Jul 2000 Last Revised: 10 Oct 2010
George M. Constantinides, John B. Donaldson and Rajnish Mehra
University of Chicago - Booth School of Business, Columbia Business School - Finance and Economics and Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 43 (421,281)

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Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence

AFA 2001 New Orleans Meetings; CRSP Working Paper No. 505; and RLW Center Working Paper No. 23-99
Number of pages: 48 Posted: 10 Feb 2000
Alon Brav, George M. Constantinides and Christopher Geczy
Duke University - Fuqua School of Business, University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School, Finance Department
Downloads 450 (62,521)

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Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence

NBER Working Paper No. w7406
Number of pages: 53 Posted: 12 Jul 2000 Last Revised: 26 Oct 2010
Alon Brav, George M. Constantinides and Christopher Geczy
Duke University - Fuqua School of Business, University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School, Finance Department
Downloads 36 (450,874)

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Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence

NBER Working Paper No. w8822
Number of pages: 41 Posted: 10 Aug 2012
Alon Brav, George M. Constantinides and Christopher Geczy
Duke University - Fuqua School of Business, University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School, Finance Department
Downloads 10 (607,181)
Citation 12

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Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence

Journal of Political Economy, Forthcoming
Posted: 19 Nov 2001
Alon Brav, George M. Constantinides and Christopher Geczy
Duke University - Fuqua School of Business, University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School, Finance Department

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Equity premium, Incomplete consumption insurance, Heterogeneous consumers, Limited capital market participation

Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence

Journal of Political Economy, Vol. 110, August 2002
Posted: 26 Aug 2002
Alon Brav, George M. Constantinides and Christopher Geczy
Duke University - Fuqua School of Business, University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School, Finance Department

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Asset Pricing Tests with Long Run Risks in Consumption Growth

Fama-Miller Working Paper , Chicago Booth Working Paper 11-25
Number of pages: 76 Posted: 16 Mar 2008 Last Revised: 27 Jul 2011
George M. Constantinides and Anisha Ghosh
University of Chicago - Booth School of Business and Carnegie Mellon University
Downloads 378 (76,940)
Citation 9

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Long Run Risks, Equity Premium, Cross-Section of Asset Returns, Cointegration, Latent State Variables

Asset Pricing Tests with Long Run Risks in Consumption Growth

NBER Working Paper No. w14543
Number of pages: 55 Posted: 11 Dec 2008 Last Revised: 28 Sep 2010
George M. Constantinides and Anisha Ghosh
University of Chicago - Booth School of Business and London School of Economics & Political Science (LSE)
Downloads 25 (508,353)

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The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth

CRSP Working Paper Forthcoming, Chicago Booth Research Paper No. 10-26
Number of pages: 42 Posted: 06 Jul 2010 Last Revised: 06 Sep 2012
Anisha Ghosh and George M. Constantinides
Carnegie Mellon University and University of Chicago - Booth School of Business
Downloads 254 (119,695)

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Return Predictability, Consumption Growth Predictability, Dividend Growth Predictability, Regime Shifts, Cross-Section of Returns, Equity Premium, Size Premium, Value Premium

The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth

Number of pages: 39 Posted: 16 Mar 2010
Anisha Ghosh and George M. Constantinides
Carnegie Mellon University and University of Chicago - Booth School of Business
Downloads 77 (315,234)

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Return Predictability, Consumption Growth Predictability, Dividend Growth Predictability, Regime Shifts, Cross-Section of Returns

The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth

Number of pages: 45 Posted: 19 Mar 2011
Anisha Ghosh and George M. Constantinides
Carnegie Mellon University and University of Chicago - Booth School of Business
Downloads 46 (409,600)
Citation 5

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Return Predictability, Consumption Growth Predictability, Dividend Growth Predictability, Regime Shifts, Cross-Section of Returns, Equity Premium, Size Premium, Value Premium

The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth

NBER Working Paper No. w16183
Number of pages: 42 Posted: 12 Jul 2010 Last Revised: 21 Sep 2010
Anisha Ghosh and George M. Constantinides
Carnegie Mellon University and University of Chicago - Booth School of Business
Downloads 20 (540,122)

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8.

Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities

CRSP Working Paper No. 495
Number of pages: 38 Posted: 26 Apr 2000
George M. Constantinides and Thaleia Zariphopoulou
University of Chicago - Booth School of Business and University of Texas at Austin - Red McCombs School of Business
Downloads 324 (92,614)
Citation 3

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derivative pricing, transaction costs, multi-securities, american claims, exotic options, utility maximization, volatility smile.

9.
Downloads 297 (101,928)

Mispriced Index Option Portfolios

Number of pages: 70 Posted: 12 Jan 2017 Last Revised: 13 Dec 2017
George M. Constantinides, Michal Czerwonko and Stylianos Perrakis
University of Chicago - Booth School of Business, Concordia University and Concordia University, Quebec - John Molson School of Business
Downloads 287 (105,234)

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S&P 500 Options, Stochastic Dominance, Option Mispricing, Portfolio Management, CAC Options, DAX Options

Mispriced Index Option Portfolios

NBER Working Paper No. w23708
Number of pages: 71 Posted: 21 Aug 2017
George M. Constantinides, Michal Czerwonko and Stylianos Perrakis
University of Chicago - Booth School of Business, McGill University and Concordia University, Quebec - John Molson School of Business
Downloads 10 (607,181)

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10.

Option Pricing: Real and Risk-Neutral Distributions

HANDBOOKS IN OPERATIONS RESEARCH AND MANAGEMENT SCIENCE: FINANCIAL ENGINEERING, J.R. Birge, V. Linetsky, eds., Vol. 15, pp. 565-591, Elsevier, 2007
Number of pages: 37 Posted: 18 Nov 2008 Last Revised: 05 Dec 2008
George M. Constantinides, Stylianos Perrakis and Jens Carsten Jackwerth
University of Chicago - Booth School of Business, Concordia University, Quebec - John Molson School of Business and University of Konstanz - Department of Economics
Downloads 218 (140,024)

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Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs

Number of pages: 38 Posted: 27 Dec 2000
George M. Constantinides and Stylianos Perrakis
University of Chicago - Booth School of Business and Concordia University, Quebec - John Molson School of Business
Downloads 176 (170,595)

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Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs

NBER Working Paper No. w8867
Number of pages: 58 Posted: 28 Mar 2002 Last Revised: 27 Oct 2010
George M. Constantinides and Stylianos Perrakis
University of Chicago - Booth School of Business and Concordia University, Quebec - John Molson School of Business
Downloads 27 (496,462)
Citation 1

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12.
Downloads 201 (151,029)

What Information Drives Asset Prices?

Chicago Booth Research Paper No. 17-23
Number of pages: 81 Posted: 09 Aug 2017
Anisha Ghosh and George M. Constantinides
Carnegie Mellon University and University of Chicago - Booth School of Business
Downloads 183 (164,702)

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macroeconomic news, learning models, CPI, earnings per hour, asset pricing

What Information Drives Asset Prices?

NBER Working Paper No. w23689
Number of pages: 81 Posted: 21 Aug 2017
Anisha Ghosh and George M. Constantinides
Carnegie Mellon University and University of Chicago - Booth School of Business
Downloads 18 (553,112)
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Asset Pricing with Countercyclical Household Consumption Risk

Fama-Miller Working Paper, Chicago Booth Research Paper No. 14-06
Number of pages: 61 Posted: 15 Feb 2014 Last Revised: 11 Aug 2015
George M. Constantinides and Anisha Ghosh
University of Chicago - Booth School of Business and Carnegie Mellon University
Downloads 178 (168,860)

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household consumption risk, incomplete consumption insurance, idiosyncratic income shocks, asset pricing, equity premium puzzle, risk free rate puzzle, excess volatility puzzle

Asset Pricing with Countercyclical Household Consumption Risk

NBER Working Paper No. w20110
Number of pages: 80 Posted: 14 May 2014
George M. Constantinides and Anisha Ghosh
University of Chicago - Booth School of Business and Carnegie Mellon University
Downloads 7 (628,313)
Citation 1

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14.

Habit Persistence and Durability in Aggregate Consumption: Empirical Tests

NBER Working Paper No. w3631
Number of pages: 68 Posted: 21 May 2004
George M. Constantinides and Wayne E. Ferson
University of Chicago - Booth School of Business and University of Southern California
Downloads 63 (348,130)
Citation 2

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15.
Downloads 60 (356,689)
Citation 34

Rational Asset Prices

NBER Working Paper No. w8826
Number of pages: 43 Posted: 08 Mar 2002 Last Revised: 26 Oct 2010
George M. Constantinides
University of Chicago - Booth School of Business
Downloads 60 (361,658)
Citation 2

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Rational Asset Prices

Journal of Finance, Vol. 57, pp. 1567-1591, 2002
Posted: 29 Nov 2003
George M. Constantinides
University of Chicago - Booth School of Business

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16.

Junior Must Pay: Pricing the Implicit Put in Privatizing Social Security

NBER Working Paper No. w8906
Number of pages: 49 Posted: 18 Apr 2002 Last Revised: 20 Jun 2002
George M. Constantinides, John B. Donaldson and Rajnish Mehra
University of Chicago - Booth School of Business, Columbia Business School - Finance and Economics and Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 53 (378,460)
Citation 6

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17.

Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns

NBER Working Paper No. w1176
Number of pages: 51 Posted: 19 Jun 2004 Last Revised: 20 Sep 2010
George M. Constantinides
University of Chicago - Booth School of Business
Downloads 52 (381,693)
Citation 5

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18.

Junior is Rich: Bequests as Consumption

NBER Working Paper No. w11122
Number of pages: 51 Posted: 01 Jun 2006
George M. Constantinides, John B. Donaldson and Rajnish Mehra
University of Chicago - Booth School of Business, Columbia Business School - Finance and Economics and Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 37 (436,712)

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19.

Optimal Bond Trading with Personal Taxes: Implications for Bond Prices and Estimated Tax Brackets and Yield Curves

NBER Working Paper No. w1184
Number of pages: 58 Posted: 19 Jun 2004 Last Revised: 28 Sep 2010
George M. Constantinides and Jonathan E. Ingersoll
University of Chicago - Booth School of Business and Yale School of Management - International Center for Finance
Downloads 33 (453,628)

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20.

Market Organization and the Prices of Financial Assets

Manchester School, Vol. 74, No. S1, pp. 1-23, September 2006
Number of pages: 23 Posted: 17 Aug 2006
George M. Constantinides
University of Chicago - Booth School of Business
Downloads 27 (482,659)
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21.

Time Nonseparability in Aggregate Consumption: International Evidence

NBER Working Paper No. w4104
Number of pages: 52 Posted: 27 Apr 2000 Last Revised: 20 Sep 2010
Phillip A. Braun, George M. Constantinides and Wayne E. Ferson
Northwestern University - Kellogg School of Management, University of Chicago - Booth School of Business and University of Southern California
Downloads 19 (528,030)
Citation 1

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The Supply and Demand of S&P 500 Put Options

NBER Working Paper No. w21161
Number of pages: 56 Posted: 11 May 2015 Last Revised: 18 May 2015
George M. Constantinides and Lei Lian
University of Chicago - Booth School of Business and University of Massachusetts Amherst - Isenberg School of Management
Downloads 14 (579,518)

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The Supply and Demand of S&P 500 Put Options

Fama-Miller Working Paper, Chicago Booth Research Paper No. 15-38
Posted: 19 Aug 2015 Last Revised: 28 Dec 2015
George M. Constantinides and Lei Lian
University of Chicago - Booth School of Business and University of Massachusetts Amherst - Isenberg School of Management

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S&P 500 options; option supply; option demand; market maker credit constraints; Value-at-Risk; implied volatility skew; net buy; disaster risk; variance risk

23.

Prices, Consumption, and Dividends Over the Business Cycle: A Tale of Two Regimes

NBER Working Paper No. w20678
Number of pages: 41 Posted: 17 Nov 2014
Anisha Ghosh and George M. Constantinides
Carnegie Mellon University and University of Chicago - Booth School of Business
Downloads 10 (582,581)

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24.

Bounds on Prices of Contingent Claims in an Intertemporal Economy with Proportional Transaction Costs and General Preferences

Finance and Stochastics, Vol. 3 Iss. 3, May 1999
Posted: 17 Aug 1999
George M. Constantinides and Thaleia Zariphopoulou
University of Chicago - Booth School of Business and University of Texas at Austin - Red McCombs School of Business

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25.

Asset Pricing with Heterogeneous Consumers

J. OF POLITICAL ECONOMY, Vol. 104 No. 2, April 1996
Posted: 28 Jun 1998
George M. Constantinides and Darrell Duffie
University of Chicago - Booth School of Business and Stanford University - Graduate School of Business

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26.

Transaction Costs and the Implied Volatility Smile

Posted: 03 Apr 1997
George M. Constantinides
University of Chicago - Booth School of Business

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