Selected Bibliography for George M. Constantinides

Leo Melamed Professor of Finance

Home page of George M. Constantinides

Published Works  

"The Puzzle of Index Option Returns." George M. Constantinides, Jens Carsten Jackwerth and Alexi Savov; Review of Asset Pricing Studies, 2013, 3(2), pp. 229-57.
http://dx.doi.org/10.1093/rapstu/rat004

 

"Asset Pricing Tests with Long-Run Risks in Consumption Growth." George M. Constantinides and Anisha Ghosh; Review of Asset Pricing Studies, 2011, 1(1), pp. 96-136.
http://dx.doi.org/10.1093/rapstu/rar004

"Are Options on Index Futures Profitable for Risk-Averse Investors? Empirical Evidence." George M. Constantinides, Michal Czerwonko, Jens Carsten Jackwerth and Stylianos Perrakis; The Journal of Finance, 2011, 66(4), pp. 1407-37.
http://dx.doi.org/10.1111/j.1540-6261.2011.01665.x

"Mispricing of S&P 500 Index Options." George M. Constantinides, Jens Carsten Jackwerth and Stylianos Perrakis; Review of Financial Studies, 2009, 22(3), pp. 1247-77.
http://rfs.oxfordjournals.org/cgi/content/abstract/22/3/1247 

"Understanding the Equity Risk Premium Puzzle," George M. Constantinides, in M. Rajnish: Handbook of the Equity Risk Premium. San Diego: Elsevier, 2008, pp. 331-59

"Comment on 'Macroeconomic Crises since 1870'." George M. Constantinides; Brookings Papers on Economic Activity, 2008, (1).
http://muse.jhu.edu/journals/brookings_papers_on_economic_activity/v2008/2008.1.barro_sub01.html

"Junior Is Rich: Bequests as Consumption." George Constantinides, John Donaldson and Rajnish Mehra; Economic Theory, 2007, 32(1), pp. 125-55.
http://dx.doi.org/10.1007/s00199-006-0163-x 

"Market Organization and the Prices of Financial Assets." George M. Constantinides; The Manchester School, 2006, 74(s1), pp. 1-23.
http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9957.2006.00515.x

"Junior Must Pay: Pricing the Implicit Put in Privatizing Social Security." G. M. Constantinides, J. B. Donaldson and R. Mehra; Annals of Finance, 2005, 1(1), pp. 1-34.
http://www.springerlink.com/openurl.asp?genre=article&id=doi:10.1007/s10436-004-0002-7

Theory of Valuation; Sudipto Bhattacharya and George M. Constantinides; New Jersey: World Scientific, 2005

Handbook of the Economics of Finance; George M. Constantinides, Milton Harris and René M. Stulz; Handbooks in Economics; Amsterdam; Boston: Elsevier/North-Holland, 2003

"Rational Asset Prices." George M. Constantinides; Journal of Finance, 2002, 57(4), pp. 1567-91.
http://dx.doi.org/10.1111/1540-6261.00471

"Stochastic Dominance Bounds on Derivatives Prices in a Multiperiod Economy with Proportional Transaction Costs." George M. Constantinides and Stylianos Perrakis; Journal of Economic Dynamics and Control, 2002, 26(7-8), pp. 1323-52.
http://dx.doi.org/10.1016/S0165-1889(01)00047-1

"Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence." Alon Brav, George M. Constantinides and Christopher C. Geczy; Journal of Political Economy, 2002, 110(4), pp. 793-824.
http://dx.doi.org/10.1086/340776

"Junior Can't Borrow: A New Perspective of the Equity Premium Puzzle." George M. Constantinides, John B. Donaldson and Rajnish Mehra; Quarterly Journal of Economics, 2002, 117(1), pp. 269-96.
http://search.epnet.com/login.aspx?direct=true&db=bth&an=5942278

"Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities." George M. Constantinides and Thaleia Zariphopoulou; Mathematical Finance, 2001, 11(3), pp. 331-46.
http://dx.doi.org/10.1111/1467-9965.00118

Options Markets; George M. Constantinides and A. G. Malliaris; Cheltenham, U.K. and Northampton, Mass.: Elgar, 2001

"Bounds on Prices of Contingent Claims in an Intertemporal Economy with Proportional Transaction Costs and General Preferences." George M. Constantinides and Thaleia Zariphopoulou; Finance and Stochastics, 1999, 3(3), pp. 345-69.
http://www.springerlink.com/link.asp?id=v6etm8uq7h0wf2w9

"Transaction Costs and the Pricing of Financial Assets." George M. Constantinides; Multinational Finance Journal, 1997, 1(2), pp. 93-99.
http://proquest.umi.com/pqdlink?did=34855787&sid=1&Fmt=2&clientId=13392&RQT=309&VName=PQD

"Asset Pricing with Heterogeneous Consumers." George M. Constantinides and Darrell Duffie; Journal of Political Economy, 1996, 104(2), pp. 219-40.
http://links.jstor.org/sici?sici=0022-3808%28199604%29104%3A2%3C219%3AAPWHC%3E2.0.CO%3B2-Y

"Time Nonseparability in Aggregate Consumption: International Evidence." Phillip A. Braun, George M. Constantinides and Wayne E. Ferson; European Economic Review, 1993, 37(5), pp. 897-920.
http://dx.doi.org/10.1016/0014-2921(93)90101-F

"Optimal Investment Strategies for University Endowment Funds: Comment," George M. Constantinides, in C. T. Clotfelter and M. Rothschild: Studies of Supply and Demand in Higher Education. A National Bureau of Economic Research Project Report. Chicago and London: University of Chicago Press, 1993, pp. 236-42

"A Theory of the Nominal Term Structure of Interest Rates." George M. Constantinides; Review of Financial Studies, 1992, 5(4), pp. 531-52.
http://links.jstor.org/sici?sici=0893-9454%281992%295%3A4%3C531%3AATOTNT%3E2.0.CO%3B2-G

"Habit Persistence and Durability in Aggregate Consumption: Empirical Tests." Wayne E. Ferson and George M. Constantinides; Journal of Financial Economics, 1991, 29(2), pp. 199-240.
http://dx.doi.org/10.1016/0304-405X(91)90002-2

"Habit Formation: A Resolution of the Equity Premium Puzzle." George M. Constantinides; Journal of Political Economy, 1990, 98(3), pp. 519-43.
http://links.jstor.org/sici?sici=0022-3808%28199006%2998%3A3%3C519%3AHFAROT%3E2.0.CO%3B2-T

Theory of Valuation : Frontiers of Modern Financial Theory; Sudipto Bhattacharya and George M. Constantinides; Totowa, N.J.: Rowman & Littlefield, 1989

Financial Markets and Incomplete Information : Frontiers of Modern Financial Theory; Sudipto Bhattacharya and George M. Constantinides; Totowa, N.J.: Rowman & Littlefield, 1989

"Optimal Investment with Stock Repurchase and Financing as Signals." George M. Constantinides and Bruce D. Grundy; Review of Financial Studies, 1989, 2(4), pp. 445-65.
http://links.jstor.org/sici?sici=0893-9454%281989%292%3A4%3C445%3AOIWSRA%3E2.0.CO%3B2-2

"Comments on Stock Return Seasonality," George M. Constantinides, in E. E. Dimson: Stock Market Anomalies. Cambridge; New York and Melbourne: Cambridge University Press, 1988, pp. 123-28

Frontiers of Modern Financial Theory; Sudipto Bhattacharya and George M. Constantinides; Totowa, N.J.: Rowman & Littlefield, 1987

"Capital Market Equilibrium with Transaction Costs." George M. Constantinides; Journal of Political Economy, 1986, 94(4), pp. 842-62.
http://links.jstor.org/sici?sici=0022-3808%28198608%2994%3A4%3C842%3ACMEWTC%3E2.0.CO%3B2-F

"The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence: Discussion." George M. Constantinides; Journal of Finance, 1985, 40(3), pp. 791-92.
http://links.jstor.org/sici?sici=0022-1082%28198507%2940%3A3%3C791%3ATDTSWT%3E2.0.CO%3B2-E

"Debt and Taxes and Uncertainty: Discussion." George M. Constantinides; Journal of Finance, 1985, 40(3), pp. 657-58.
http://links.jstor.org/sici?sici=0022-1082%28198507%2940%3A3%3C657%3ADATAUD%3E2.0.CO%3B2-2

"Optimal Bond Trading with Personal Taxes." George M. Constantinides and Jonathan E. Ingersoll, Jr.; Journal of Financial Economics, 1984, 13(3), pp. 299-335.
http://dx.doi.org/10.1016/0304-405X(84)90002-3

"Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns." George M. Constantinides; Journal of Financial Economics, 1984, 13(1), pp. 65-89.
http://dx.doi.org/10.1016/0304-405X(84)90032-1

"Strategic Analysis of the Competitive Exercise of Certain Financial Options." George M. Constantinides and Robert W. Rosenthal; Journal of Economic Theory, 1984, 32(1), pp. 128-38.
http://dx.doi.org/10.1016/0022-0531(84)90078-4

"Warrant Exercise and Bond Conversion in Competitive Markets." George M. Constantinides; Journal of Financial Economics, 1984, 13(3), pp. 371-97.
http://dx.doi.org/10.1016/0304-405X(84)90005-9

"CVL Analysis and Breakeven Capital Budgeting." George M. Constantinides, Yuji Ijiri and Robert A. Leitch; Cost and Management, 1983, 57(2), pp. 48.

"Review of 'Stochastic Methods in Economics and Finance by A. G. Malliaris'." George M. Constantinides; Journal of Business, 1983, 56(3), pp. 406-07.
http://links.jstor.org/sici?sici=0021-9398%28198307%2956%3A3%3C406%3ASMIEAF%3E2.0.CO%3B2-K

"Capital Market Equilibrium with Personal Tax." George M. Constantinides; Econometrica: Journal of the Econometric Society, 1983, 51(3), pp. 611-36.
http://links.jstor.org/sici?sici=0012-9682%28198305%2951%3A3%3C611%3ACMEWPT%3E2.0.CO%3B2-I

"To Pay or Not to Pay Dividends: Discussion." Nils H. Hakansson and George M. Constantinides; Journal of Finance, 1982, 37(2), pp. 415.
http://links.jstor.org/sici?sici=0022-1082%28198205%2937%3A2%3C470%3ATPONTP%3E2.0.CO%3B2-Z

"Optimal Bond Trading with Personal Tax: Implications for Bond Prices and Estimated Tax Brackets and Yield Curves." George M. Constantinides and Jonathan E. Ingersoll, Jr.; Journal of Finance, 1982, 37(2), pp. 349-52.
http://links.jstor.org/sici?sici=0022-1082%28198205%2937%3A2%3C349%3AOBTWPT%3E2.0.CO%3B2-6

"Intertemporal Asset Pricing with Heterogeneous Consumers and without Demand Aggregation." George M. Constantinides; Journal of Business, 1982, 55(2), pp. 253-67.
http://links.jstor.org/sici?sici=0021-9398%28198204%2955%3A2%3C253%3AIAPWHC%3E2.0.CO%3B2-B

"Stochastic Cost Volume Profit Analysis with a Linear Demand Function." George M. Constantinides, Yuji Ijiri and Robert A. Leitch; Decision Sciences, 1981, 12(3), pp. 417.

"Admissible Uncertainty in the Intertemporal Asset Pricing Model." George M. Constantinides; Journal of Financial Economics, 1980, 8(1), pp. 71-86.
http://dx.doi.org/10.1016/0304-405X(80)90022-7

"Optimal Liquidation of Assets in the Presence of Personal Taxes: Implications for Asset Pricing." George M. Constantinides and Myron S. Scholes; Journal of Finance, 1980, 35(2), pp. 439-49.
http://links.jstor.org/sici?sici=0022-1082%28198005%2935%3A2%3C439%3AOLOAIT%3E2.0.CO%3B2-R

"Multiperiod Consumption and Investment Behavior with Convex Transactions Costs." George M. Constantinides; Management Science, 1979, 25(11), pp. 1127-37.
http://links.jstor.org/sici?sici=0025-1909%28197911%2925%3A11%3C1127%3AMCAIBW%3E2.0.CO%3B2-W

"A Note on the Suboptimality of Dollar-Cost Averaging as an Investment Policy." George M. Constantinides; Journal of Financial and Quantitative Analysis, 1979, 14(2), pp. 443-50.
http://links.jstor.org/sici?sici=0022-1090%28197906%2914%3A2%3C443%3AANOTSO%3E2.0.CO%3B2-0

"Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time." George M. Constantinides and Scott F. Richard; Operations Research, 1978, 26(4), pp. 620-36.
http://links.jstor.org/sici?sici=0030-364X%28197807%2F08%2926%3A4%3C620%3AEOOSPF%3E2.0.CO%3B2-G

"Market Risk Adjustment in Project Valuation." George M. Constantinides; Journal of Finance, 1978, 33(2), pp. 603-16.
http://links.jstor.org/sici?sici=0022-1082%28197805%2933%3A2%3C603%3AMRAIPV%3E2.0.CO%3B2-H

"Book Review: Cash Management: An Inventory Control Limit Approach " George M. Constantinides; Journal of Financial Economics, 1976, 3( 3), pp. 299.
http://dx.doi.org/10.1016/0304-405X(76)90010-6

"Review of 'Operations Research', .Principles of Operations Research, and 'Principles of Management Science'." George M. Constantinides; Journal of the American Statistical Association, 1976, 71( 354), pp. 526.
http://links.jstor.org/sici?sici=0162-1459%28197606%2971%3A354%3C526%3AOR%3E2.0.CO%3B2-5

"Comment on Chen, Kim and Kon." George M. Constantinides; Journal of Financial Economics, 1976, 3(3), pp. 295-96.
http://dx.doi.org/10.1016/0304-405X(76)90008-8

"Portfolio Selection with Transactions Costs." Michael J. P. Magill and George M. Constantinides; Journal of Economic Theory, 1976, 13(2), pp. 245-63.
http://dx.doi.org/10.1016/0022-0531(76)90018-1

"Stochastic Cash Management with Fixed and Proportional Transaction Costs." George M. Constantinides; Management Science, 1976, 22(12), pp. 1320-31.
http://links.jstor.org/sici?sici=0025-1909%28197608%2922%3A12%3C1320%3ASCMWFA%3E2.0.CO%3B2-S

"Optimal Portfolio Revision with Proportional Transaction Costs: Extension to Hara Utility Functions and Exogenous Deterministic Income." George M. Constantinides; Management Science, 1976, 22(8), pp. 921-23.
http://links.jstor.org/sici?sici=0025-1909%28197604%2922%3A8%3C921%3AOPRWPT%3E2.0.CO%3B2-4

Transaction Costs in Portfolio and Cash Management; George M. Constantinides; Ph.D Dissertation, Indiana University, 1974.

Working Papers  

Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence; George M. Constantinides, Michal Czerwonko, Jens Carsten Jackwerth and Stylianos Perrakis; NBER Working Paper Series   No. 16302; Cambridge: National Bureau of Economic Research, 2010.
http://www.nber.org/papers/w16302

Asset Pricing Tests with Long Run Risks in Consumption Growth; George M. Constantinides and Anisha Ghosh; NBER Working Paper Series No. 14543; Cambridge: National Bureau of Economic Research, 2008.
http://www.nber.org/papers/w14543

Mispricing of S&P 500 Index Options; George M. Constantinides, Jens Carsten Jackwerth and Stylianos Perrakis; NBER Working Paper Series No. 14544; Cambridge: National Bureau of Economic Research, 2008.
http://www.nber.org/papers/w14544

Junior Is Rich: Bequests as Consumption; George M. Constantinides, John B. Donaldson and Rajnish Mehra; NBER Working Papers Series no. 11122; Cambridge: National Bureau of Economic Research, 2005.
http://papers.nber.org/papers/W11122

Asset Pricing with Heterogeneous Consumers and Limited Participation : Empirical Evidence; Alon Brav, George M. Constantinides and Christopher C. Géczy; NBER working paper series no. 8822.; Cambridge: National Bureau of Economic Research, 2002.
http://papers.nber.org/papers/W8822

Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs; George M. Constantinides and Stylianos Perrakis; NBER working paper series no. 8867.; Cambridge: National Bureau of Economic Research, 2002.
http://papers.nber.org/papers/W8867

Rational Asset Prices; George M. Constantinides; NBER working paper series no. 8826.; Cambridge: National Bureau of Economic Research, 2002.
http://papers.nber.org/papers/W8826

Junior Must Pay Pricing the Implicit Put in Privatizing Social Security; George M. Constantinides, John B. Donaldson and Rajnish Mehra; NBER working paper series no. 8906.; Cambridge: National Bureau of Economic Research, 2002.
http://www.nber.org/papers/w8906

Asset Pricing with Heterogeneous Consumers and Limited Participation : Empirical Evidence; Alon Brav, George M. Constantinides and Christopher C. Géczy; NBER working paper series no. 7406.; Cambridge: National Bureau of Economic Research, 1999.
http://papers.nber.org/papers/w7406

Junior Can't Borrow : A New Perspective on the Equity Premium Puzzle; George M. Constantinides, John B. Donaldson and Rajnish Mehra; NBER working paper series no. 6617.; Cambridge: National Bureau of Economic Research, 1998.
http://www.nber.org/papers/w6617

Time Nonseparability in Aggregate Consumption International Evidence; Phillip A. Braun, George M. Constantinides and Wayne E. Ferson; NBER working papers series no. 4104.; Cambridge: National Bureau of Economic Research, 1992.
http://papers.nber.org/papers/w4104

Habit Persistence and Durability in Aggregate Consumption : Empirical Tests; Wayne E. Ferson and George M. Constantinides; NBER working papers series no. 3631.; Cambridge: National Bureau of Economic Research, 1991.
http://papers.nber.org/papers/3631

Optimal Bond Trading with Personal Taxes : Implications for Bond Prices and Estimated Tax Brackets and Yield Curves; George M. Constantinides and Jonathan E. Ingersoll; NBER working paper series no. 1184; Cambridge: National Bureau of Economic Research, 1983.
http://papers.nber.org/papers/1184

Optimal Stock Trading with Personal Taxes : Implications for Prices and the Abnormal January Returns; George M. Constantinides; NBER working paper series no. 1176; Cambridge: National Bureau of Economic Research, 1983.
http://papers.nber.org/papers/1176