Author Page for George M. Constantinides

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 1,118 (33,915)

Citation 33

Abstract:

2.

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

Downloads 677 (67,464)

Citation 17

3

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

George M. Constantinides, Michal Czerwonko, Jens Carsten Jackwerth and Stylianos Perrakis

University of Chicago - Booth School of Business, Nazarbayev University, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business

Downloads 418 (120,559)

Citation 6

Abstract:

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

Number of pages: 73 Posted: 14 Oct 2008 Last Revised: 26 Jul 2010

George M. Constantinides, Michal Czerwonko, Jens Carsten Jackwerth and Stylianos Perrakis

University of Chicago - Booth School of Business, Nazarbayev University, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business

Downloads 205 (253,605)

Citation 3

Abstract:

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: 19 Jul 2023

George M. Constantinides, Michal Czerwonko, Jens Carsten Jackwerth and Stylianos Perrakis

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 54 (649,382)

Citation 9

Abstract:

3.

Mispricing of S&P 500 Index Options

Downloads 664 (69,275)

Citation 25

3

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 576 (81,789)

Citation 14

Abstract:

Mispricing of S&P 500 Index Options

NBER Working Paper No. w14544

Number of pages: 50 Posted: 15 Jan 2009 Last Revised: 29 Sep 2022

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 88 (494,366)

Citation 13

Abstract:

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

Abstract:

4.

Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence

Downloads 610 (76,916)

Citation 365

5

Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence

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 487 (100,615)

Citation 2

Abstract:

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: 28 Sep 2022

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 78 (532,865)

Abstract:

Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence

NBER Working Paper No. w8822

Number of pages: 41 Posted: 10 Aug 2012 Last Revised: 11 Aug 2022

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 45 (705,093)

Citation 84

Abstract:

Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence

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

Abstract:

Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence

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

Abstract:

5.

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

Downloads 492 (100,411)

Citation 7

4

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

McGill University and University of Chicago - Booth School of Business

Downloads 281 (186,227)

Abstract:

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

McGill University and University of Chicago - Booth School of Business

Downloads 96 (467,205)

Abstract:

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

McGill University and University of Chicago - Booth School of Business

Downloads 69 (571,928)

Citation 6

Abstract:

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: 22 Mar 2023

Anisha Ghosh and George M. Constantinides

McGill University and University of Chicago - Booth School of Business

Downloads 46 (698,385)

Abstract:

6.

Asset Pricing Tests with Long Run Risks in Consumption Growth

Downloads 492 (100,667)

Citation 26

2

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 McGill University

Downloads 441 (113,106)

Citation 22

Abstract:

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 2022

George M. Constantinides and Anisha Ghosh

University of Chicago - Booth School of Business and London School of Economics & Political Science (LSE)

Downloads 51 (673,029)

Abstract:

7.

Mispriced Index Option Portfolios

Downloads 391 (131,470)

Citation 5

2

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, Nazarbayev University and Concordia University, Quebec - John Molson School of Business

Downloads 340 (152,170)

Abstract:

Mispriced Index Option Portfolios

NBER Working Paper No. w23708

Number of pages: 71 Posted: 21 Aug 2017 Last Revised: 13 Apr 2023

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 51 (667,084)

Citation 5

Abstract:

8.

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

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 349 (149,456)

Citation 9

Abstract:

9.

What Information Drives Asset Prices?

Downloads 308 (170,263)

Citation 2

2

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

McGill University and University of Chicago - Booth School of Business

Downloads 242 (216,447)

Citation 1

Abstract:

What Information Drives Asset Prices?

NBER Working Paper No. w23689

Number of pages: 81 Posted: 21 Aug 2017 Last Revised: 25 Mar 2023

Anisha Ghosh and George M. Constantinides

McGill University and University of Chicago - Booth School of Business

Downloads 66 (586,165)

Citation 1

Abstract:

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 253 (208,042)

Abstract:

11.

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

Downloads 250 (212,102)

Citation 33

2

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 209 (250,211)

Citation 2

Abstract:

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: 25 Sep 2022

George M. Constantinides and Stylianos Perrakis

University of Chicago - Booth School of Business and Concordia University, Quebec - John Molson School of Business

Downloads 41 (740,067)

Citation 3

Abstract:

12.

Asset Pricing with Countercyclical Household Consumption Risk

Downloads 248 (213,018)

Citation 61

2

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 McGill University

Downloads 227 (230,462)

Abstract:

Asset Pricing with Countercyclical Household Consumption Risk

NBER Working Paper No. w20110

Number of pages: 80 Posted: 14 May 2014 Last Revised: 14 Jun 2023

George M. Constantinides and Anisha Ghosh

University of Chicago - Booth School of Business and McGill University

Downloads 21 (911,457)

Citation 43

Abstract:

13.

Sentiment, Productivity, and Economic Growth

Downloads 195 (265,902)

3

Sentiment, Productivity, and Economic Growth

NBER Working Paper w31031, University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2023-40, Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 22-8

Number of pages: 54 Posted: 19 Sep 2022 Last Revised: 23 Aug 2023

George M. Constantinides, Maurizio Montone, Valerio Potì and Stella N. Spilioti

University of Chicago - Booth School of Business, Utrecht University, University College Dublin and University of Piraeus - Department of Economics

Downloads 146 (341,297)

Abstract:

Sentiment, Productivity, and Economic Growth

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2023-40

Number of pages: 38 Posted: 22 Mar 2023

George M. Constantinides, Maurizio Montone, Valerio Potì and Stella Spilioti

University of Chicago - Booth School of Business, Utrecht University, University College Dublin and Athens University of Economics and Business

Downloads 41 (732,817)

Abstract:

Sentiment, Productivity, and Economic Growth

NBER Working Paper No. w31031

Number of pages: 37 Posted: 20 Mar 2023 Last Revised: 16 Apr 2023

George M. Constantinides, Maurizio Montone, Valerio Potì and Stella Spilioti

University of Chicago - Booth School of Business, Utrecht University, University College Dublin and Athens University of Economics and Business

Downloads 8 (1,035,543)

Add to Cart

Abstract:

14.

Habit Persistence and Durability in Aggregate Consumption: Empirical Tests

NBER Working Paper No. w3631

Number of pages: 68 Posted: 21 May 2004 Last Revised: 05 Jun 2022

George M. Constantinides and Wayne E. Ferson

University of Chicago - Booth School of Business and University of Southern California

Downloads 111 (419,090)

Citation 7

Abstract:

15.

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: 19 Sep 2022

George M. Constantinides

University of Chicago - Booth School of Business

Downloads 102 (445,226)

Citation 25

Abstract:

16.

Rational Asset Prices

Downloads 92 (476,613)

Citation 38

2

Rational Asset Prices

NBER Working Paper No. w8826

Number of pages: 43 Posted: 08 Mar 2002 Last Revised: 13 Feb 2022

George M. Constantinides

University of Chicago - Booth School of Business

Downloads 92 (480,611)

Citation 6

Abstract:

Rational Asset Prices

Posted: 29 Nov 2003

George M. Constantinides

University of Chicago - Booth School of Business

Abstract:

17.

Welfare Costs of Idiosyncratic and Aggregate Consumption Shocks

Downloads 75 (538,842)

Citation 2

4

Welfare Costs of Idiosyncratic and Aggregate Consumption Shocks

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2021-84

Number of pages: 34 Posted: 19 Jul 2021

George M. Constantinides

University of Chicago - Booth School of Business

Downloads 38 (754,898)

Abstract:

Welfare Costs of Idiosyncratic and Aggregate Consumption Shocks

Number of pages: 33 Posted: 10 May 2023

George M. Constantinides

University of Chicago - Booth School of Business

Downloads 14 (974,305)

Abstract:

Welfare Costs of Idiosyncratic and Aggregate Consumption Shocks

Number of pages: 33 Posted: 12 Jul 2021

George M. Constantinides

University of Chicago - Booth School of Business

Downloads 13 (984,990)

Abstract:

Welfare Costs of Idiosyncratic and Aggregate Consumption Shocks

NBER Working Paper No. w29009

Number of pages: 34 Posted: 12 Jul 2021 Last Revised: 07 Apr 2023

George M. Constantinides

University of Chicago - Booth School of Business

Downloads 10 (1,016,220)

Citation 2

Abstract:

18.

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: 01 Aug 2022

George M. Constantinides, John B. Donaldson and Rajnish Mehra

University of Chicago - Booth School of Business, Columbia University - Columbia Business School, Economics and Arizona State University (ASU) - W.P Carey School of Business, Department of Economics

Downloads 69 (564,022)

Citation 9

Abstract:

19.

The Supply and Demand of S&P 500 Put Options

Downloads 66 (577,446)

Citation 4

2

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: 28 Apr 2023

George M. Constantinides and Lei Lian

University of Chicago - Booth School of Business and University of Massachusetts Amherst - Isenberg School of Management

Downloads 66 (586,165)

Citation 4

Abstract:

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

Abstract:

20.

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: 03 Nov 2022

George M. Constantinides, John B. Donaldson and Rajnish Mehra

University of Chicago - Booth School of Business, Columbia University - Columbia Business School, Economics and Arizona State University (ASU) - W.P Carey School of Business, Department of Economics

Downloads 64 (586,575)

Citation 2

Abstract:

21.

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 2022

George M. Constantinides and Jonathan E. Ingersoll

University of Chicago - Booth School of Business and Yale School of Management - International Center for Finance

Downloads 60 (605,676)

Abstract:

22.

Junior is Rich: Bequests as Consumption

NBER Working Paper No. w11122

Number of pages: 51 Posted: 01 Jun 2006 Last Revised: 23 Nov 2022

George M. Constantinides, John B. Donaldson and Rajnish Mehra

University of Chicago - Booth School of Business, Columbia University - Columbia Business School, Economics and Arizona State University (ASU) - W.P Carey School of Business, Department of Economics

Downloads 51 (653,554)

Citation 1

Abstract:

23.

Time Nonseparability in Aggregate Consumption: International Evidence

NBER Working Paper No. w4104

Number of pages: 52 Posted: 27 Apr 2000 Last Revised: 19 Sep 2022

Phillip A. Braun, Phillip A. Braun, George M. Constantinides and Wayne E. Ferson

Northwestern University - Kellogg School of ManagementNorthwestern University - Kellogg School of Management, University of Chicago - Booth School of Business and University of Southern California

Downloads 51 (653,554)

Abstract:

24.

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 Last Revised: 03 Jul 2022

Anisha Ghosh and George M. Constantinides

McGill University and University of Chicago - Booth School of Business

Downloads 33 (772,199)

Abstract:

25.

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

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

Abstract:

26.

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

Abstract:

27.

Transaction Costs and the Implied Volatility Smile

Posted: 03 Apr 1997

George M. Constantinides

University of Chicago - Booth School of Business

George M. Constantinides

University of Chicago - Booth School of Business

Leo Melamed Professor of Finance

National Bureau of Economic Research (NBER)

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Scholarly Papers (27)

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Sentiment, Productivity, and Economic Growth

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