NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

George M. Constantinides

The University of Chicago
Booth School of Business
5807 South Woodlawn Avenue
Chicago, IL 60637
Tel: 773/702-7258
Fax: 773/753-8045 (773) 753-8045

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
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NBER Program Affiliations: AP
NBER Affiliation: Research Associate

NBER Working Papers and Publications

August 2017Mispriced Index Option Portfolios
with Michal Czerwonko, Stylianos Perrakis: w23708
What Information Drives Asset Prices?
with Anisha Ghosh: w23689
May 2015The Supply and Demand of S&P 500 Put Options
with Lei Lian: w21161
November 2014Prices, Consumption, and Dividends Over the Business Cycle: A Tale of Two Regimes
with Anisha Ghosh: w20678
May 2014Asset Pricing with Countercyclical Household Consumption Risk
with Anisha Ghosh: w20110
August 2010Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence
with Michal Czerwonko, Jens Carsten Jackwerth, Stylianos Perrakis: w16302

Published: George M. Constantinides & Michal Czerwonko & Jens Carsten Jackwerth & Stylianos Perrakis, 2011. "Are Options on Index Futures Profitable for Riskā€Averse Investors? Empirical Evidence," Journal of Finance, American Finance Association, vol. 66(4), pages 1407-1437, 08. citation courtesy of

July 2010The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth
with Anisha Ghosh: w16183
December 2008Mispricing of S&P 500 Index Options
with Jens Carsten Jackwerth, Stylianos Perrakis: w14544

Published: Review of Financial Studies, March 2009 citation courtesy of

Asset Pricing Tests with Long Run Risks in Consumption Growth
with Anisha Ghosh: w14543

Published: Rev Asset Pric Stud (2011) 1 (1): 96-136. doi: 10.1093/rapstu/rar004 First published online: October 17, 2011

February 2005Junior is Rich: Bequests as Consumption
with John B. Donaldson, Rajnish Mehra: w11122

Published: George Constantinides & John Donaldson & Rajnish Mehra, 2007. "Junior is rich: bequests as consumption," Economic Theory, Springer, vol. 32(1), pages 125-155, July. citation courtesy of

April 2002Junior Must Pay: Pricing the Implicit Put in Privatizing Social Security
with John B. Donaldson, Rajnish Mehra: w8906

Published: Constantinides, G. M., J. B. Donaldson and R. Mehra. "Junior Must Pay: Pricing The Implicit Put In Privatizing Social Security," Annals of Finance, 2005, v1(1,Jan), 1-34. citation courtesy of

March 2002Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs
with Stylianos Perrakis: w8867

Published: Constantinides, George M. & Perrakis, Stylianos, 2002. "Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1323-1352, July. citation courtesy of

Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence
with Alon Brav, Christopher C. Geczy: w8822

Published: Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," Journal of Political Economy, University of Chicago Press, vol. 110(4), pages 793-824, August. citation courtesy of

Rational Asset Prices
w8826

Published: Constantinides, George M. "Presidential Address: Rational Asset Prices," Journal of Finance, 2002, v57(4,Aug), 1567-1591. citation courtesy of

October 1999Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence
with Alon Brav, Christopher C. Geczy: w7406

Published: Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," Journal of Political Economy, University of Chicago Press, vol. 110(4), pages 793-824, August. citation courtesy of

June 1998Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle
with John B. Donaldson, Rajnish Mehra: w6617

Published: Constantinides, George M., John B. Donaldson and Rajnish Mehra. "Junior Can't Borrow: A New Perspective On The Equity Premium Puzzle," Quarterly Journal of Economics, 2002, v107(1,Feb), 269-296. citation courtesy of

June 1992Time Nonseparability in Aggregate Consumption: International Evidence
with Phillip A. Braun, Wayne E. Ferson: w4104

Published: European Economic Review, Vol. 37, no. 5 (1993): 897-920. citation courtesy of

February 1991Habit Persistence and Durability in Aggregate Consumption: Empirical Tests
with Wayne E. Ferson: w3631

Published: Journal of Financial Economics, Vol. 29, No. 2, pp. 199-240, (October 1991) citation courtesy of

September 1983Capital Market Equilibrium with Personal Tax
r0405

Published: Constantinides, George M. "Capital Market Equilibrium with Personal Tax." Econometrica, Vol. 51, No. 3, (May 1983), pp. 611-636.

August 1983Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns
w1176

Published: Constantinides, George M. "Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns." Journal of Financial Economics, Vol. 13, No. 1, (1984), pp. 65-89. citation courtesy of

Optimal Bond Trading with Personal Taxes: Implications for Bond Prices and Estimated Tax Brackets and Yield Curves
with Jonathan E. Ingersoll Jr.: w1184

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