George M. Constantinides : Citation Profile


Are you George M. Constantinides?

University of Chicago

23

H index

33

i10 index

7436

Citations

RESEARCH PRODUCTION:

49

Articles

40

Papers

1

Books

16

Chapters

EDITOR:

6

Books edited

2

Series edited

RESEARCH ACTIVITY:

   47 years (1976 - 2023). See details.
   Cites by year: 158
   Journals where George M. Constantinides has often published
   Relations with other researchers
   Recent citing documents: 143.    Total self citations: 37 (0.5 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pco144
   Updated: 2024-11-08    RAS profile: 2024-07-04    
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Relations with other researchers


Works with:

Perrakis, Stylianos (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with George M. Constantinides.

Is cited by:

Campbell, John (45)

Ragot, Xavier (36)

Guiso, Luigi (34)

Krebs, Tom (33)

Schmukler, Sergio (32)

Guvenen, Fatih (32)

Stulz, René (29)

Semenov, Andrei (28)

Mehra, Rajnish (28)

Uppal, Raman (26)

Kose, Ayhan (26)

Cites to:

Campbell, John (30)

Mehra, Rajnish (28)

Perrakis, Stylianos (26)

Cochrane, John (23)

Hansen, Lars (22)

Mankiw, N. Gregory (20)

Jackwerth, Jens (16)

Shiller, Robert (15)

Barro, Robert (14)

Abel, Andrew (14)

Chernov, Mikhail (12)

Main data


Where George M. Constantinides has published?


Journals with more than one article published# docs
Journal of Finance9
Journal of Financial Economics7
Journal of Political Economy5
The Review of Financial Studies3
The Review of Asset Pricing Studies3
Critical Finance Review2
Journal of Economic Theory2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc22
CoFE Discussion Papers / University of Konstanz, Center of Finance and Econometrics (CoFE)3
Working Paper Series of the Department of Economics, University of Konstanz / Department of Economics, University of Konstanz2

Recent works citing George M. Constantinides (2024 and 2023)


YearTitle of citing document
2023Identification in Economies with Frictions. (2020). Tryphonides, Andreas. In: Papers. RePEc:arx:papers:2005.02010.

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2024Retirement decision and optimal consumption-investment under addictive habit persistence. (2020). Yuan, Fengyi ; Liang, Zongxia ; Guan, Guohui. In: Papers. RePEc:arx:papers:2011.10166.

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2024Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum. (2021). Zhang, Qinyi ; Yu, Xiang ; Li, Xun . In: Papers. RePEc:arx:papers:2108.02648.

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2024A mean field game approach to equilibrium consumption under external habit formation. (2022). Yu, Xiang ; Wang, Shihua ; Bo, Lijun. In: Papers. RePEc:arx:papers:2206.13341.

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2024Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949.

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2023Labor Income Risk and the Cross-Section of Expected Returns. (2023). Pinchuk, Mykola. In: Papers. RePEc:arx:papers:2301.09173.

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2023Optimal Investment and Consumption Strategies with General and Linear Transaction Costs under CRRA Utility. (2023). Zhang, Qiang ; Miao, Yingting. In: Papers. RePEc:arx:papers:2304.07672.

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2023A greedy algorithm for habit formation under multiplicative utility. (2023). Salisbury, Thomas S ; Kirusheva, Snezhana. In: Papers. RePEc:arx:papers:2305.04748.

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2023Mean-variance dynamic portfolio allocation with transaction costs: a Wiener chaos expansion approach. (2023). Picard, Tom ; Lelong, J'Erome ; Cousin, Areski. In: Papers. RePEc:arx:papers:2305.16152.

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2024Consumption Partial Insurance in the Presence of Tail Income Risk. (2023). Theloudis, Alexandros ; Ghosh, Anisha. In: Papers. RePEc:arx:papers:2306.13208.

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2024Liquidity Premium, Liquidity-Adjusted Return and Volatility, and a Unified Modern Portfolio Theory: illustrated with Crypto Assets. (2023). Deng, QI. In: Papers. RePEc:arx:papers:2306.15807.

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2023Non-Concave Utility Maximization with Transaction Costs. (2023). Yang, Chen ; Qian, Shuaijie. In: Papers. RePEc:arx:papers:2307.02178.

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2023Singular Control in a Cash Management Model with Ambiguity. (2023). , Jacco ; Hellmann, Tobias ; Ferrari, Giorgio ; Archankul, Arnon. In: Papers. RePEc:arx:papers:2309.12014.

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2023Life cycle insurance, bequest motives and annuity loads. (2023). Shevchenko, Pavel V ; Kingston, Geoffrey ; Arandjelovi, Aleksandar. In: Papers. RePEc:arx:papers:2310.06274.

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2023.

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2023Assessing the liquidity premium in the Italian bond market. (2023). Venturi, Giulio Carlo ; Drudi, Maria Ludovica. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_795_23.

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2023Retail Investor Trading Intentions: New Evidence from Australia. (2023). Lim, Guay C ; Zeng, QI ; Tsiaplias, Sarantis. In: The Economic Record. RePEc:bla:ecorec:v:99:y:2023:i:327:p:512-535.

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2023Relative deprivation, time preference, and economic growth. (2023). Chakrabarty, Debajyoti. In: International Journal of Economic Theory. RePEc:bla:ijethy:v:19:y:2023:i:3:p:489-525.

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2023Optimal Financial Transaction Taxes. (2023). Davila, Eduardo. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:5-61.

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2023CLO Performance. (2023). Schwert, Michael ; Roberts, Michael R ; Cordell, Larry. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1235-1278.

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2023Pockets of Predictability. (2023). Timmermann, Allan ; Schmidt, Lawrence ; Farmer, Leland E. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1279-1341.

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2023Sentiment or habits: Why not both?. (2023). Tham, Eric. In: Journal of Financial Research. RePEc:bla:jfnres:v:46:y:2023:i:1:p:203-215.

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2023Homemade international diversification under economic policy uncertainty. (2023). Zhou, YI ; Zhang, Chunqiu ; Fang, Junxiong ; Chen, Jing. In: Journal of Financial Research. RePEc:bla:jfnres:v:46:y:2023:i:1:p:31-62.

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2023Personal taxes, cost of insurer equity capital, and the case of offshore hedge fund reinsurers. (2023). Niehaus, Greg. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:249-281.

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2024SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS. (2008). Zha, Haining ; Muthuraman, Kumar. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:1:p:115-134.

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2024.

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2023Análisis sobre la implantación del impuesto español sobre transacciones financieras en los mercados de renta. (2023). Pastor, Albert Martinez. In: CNMV Documentos de Trabajo. RePEc:cnv:docutr:dt_83es.

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2023Analysys of the implementation of the Spanish Financial Transaction Tax in equity markets. (2023). Pastor, Albert Martinez. In: CNMV Working Papers. RePEc:cnv:wpaper:dt_83en.

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2024Liquidity on Eurozone stock markets: A non-linear approach. (2024). Seyte, Franoise ; Souiki, Boumediene. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-01064.

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2024Monetary asmmetries without (and with) price stickiness. (2024). Jaccard, Ivan. In: Working Paper Series. RePEc:ecb:ecbwps:20242928.

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2024Proportional warm-glow theory and asset pricing. (2024). Smith, William ; Dreyer, Johannes Kabderian. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635023000734.

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2023Mutual funds capital gains lock-in and earnings management. (2023). Dimmock, Stephen ; Zhang, Huai ; Feng, Fan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s0929119923000718.

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2023Dynamic spending and portfolio decisions with a soft social norm. (2023). Bjerketvedt, Vegard Skonseng ; Tronnes, Haakon Andreas ; Harang, Fabian Andsem ; Mork, Knut Anton. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:151:y:2023:i:c:s0165188923000738.

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2023Life cycle insurance, bequest motives and annuity loads. (2023). Shevchenko, Pavel V ; Kingston, Geoffrey ; Arandjelovi, Aleksandar. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:157:y:2023:i:c:s0165188923001653.

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2023Macroeconomic volatility and the current account: Extending the evidence. (2023). Jalles, Joao ; Karras, Georgios. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001463.

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2024Stable paretian distribution, return generating processes and habit formation—The implication for equity premium puzzle. (2024). Li, Xiaotong ; So, Jacky Yuk-Chow ; Fu, QI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001869.

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2023Semiparametric estimation of latent variable asset pricing models. (2023). Dalderop, Jeroen. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001598.

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2023Business-cycle consumption risk and asset prices. (2023). Tamoni, Andrea ; Bandi, Federico M. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001410.

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2024Detecting identification failure in moment condition models. (2024). Forneron, Jean-Jacques. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002683.

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2023Household heterogeneity in macroeconomic models: A historical perspective. (2023). Saidi, Aurelien ; Duarte, Pedro Garcia ; Cherrier, Beatrice. In: European Economic Review. RePEc:eee:eecrev:v:158:y:2023:i:c:s0014292123001265.

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2023A financial modeling approach to industry exchange-traded funds selection. (2023). Conlon, Thomas ; cotter, john ; Post, Thierry ; Kovalenko, Illia. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823001081.

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2024International asset pricing with heterogeneous agents: Estimation and inference. (2024). Tinang, Jules ; Tedongap, Romeo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001263.

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2024Carbon dioxide and asset pricing: Evidence from international stock markets. (2024). Lu, Andrea ; Liu, Jinyu ; Chen, Zhuo ; Tao, Libin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001287.

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2023CBDC uncertainty: Financial market implications. (2023). Dunbar, Kwamie. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001230.

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2023Predicting inflation expectations: A habit-based explanation under hedging. (2023). Owusu-Amoako, Johnson ; Dunbar, Kwamie. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003320.

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2024Stock price swings and fundamentals: The role of Knightian uncertainty. (2024). Mangee, Nicholas. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005033.

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2024The effect of regime-switching transaction costs and cash dividends on liquidity premia. (2024). Kim, Taeyoon ; Jang, Bong-Gyu ; Chae, Jiwon. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001182.

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2023Religion groups and portfolio choice decisions: Evidence from UK households. (2023). Apergis, Nicholas. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001241.

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2024Inequality, premium and the timing of resolution of uncertainty. (2024). Giannikos, Christos ; Koimisis, Georgios. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012357.

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2024The impact of the war in Ukraine on the idiosyncratic risk and the market risk. (2024). le Saout, Erwan ; Soliman, Alain. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012679.

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2024The impact of the capital gains tax on the Korean derivatives market. (2024). Khemakhem, Emna ; Capelle-Blancard, Gunther. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004641.

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2023Market power, ambiguity, and market participation. (2023). Zhang, Shunming ; Wang, Yanyi ; Qiu, Zhigang. In: Journal of Financial Markets. RePEc:eee:finmar:v:62:y:2023:i:c:s1386418122000520.

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2023ETF ownership and firm-specific information in corporate bond returns. (2023). Mason, Joseph R ; Rhodes, Meredith E. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000623.

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2023Transaction costs, frequent trading, and stock prices. (2023). Isaenko, Sergey. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000647.

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2023Optimal consumption and life insurance under shortfall aversion and a drawdown constraint. (2023). Zhang, Qinyi ; Yu, Xiang ; Li, Xun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:25-45.

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2023Optimal retirement savings over the life cycle: A deterministic analysis in closed form. (2023). Koch, Marlene ; Jensen, Bjarne Astrup ; Fischer, Marcel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:112:y:2023:i:c:p:48-58.

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2023European option pricing with market frictions, regime switches and model uncertainty. (2023). Siu, Tak Kuen. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:233-250.

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2024Optimal annuitization and asset allocation under linear habit formation. (2024). Ma, Xingjian ; Liang, Zongxia ; Guan, Guohui. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:114:y:2024:i:c:p:176-191.

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2024Is gold a safe haven for the U.S. dollar during extreme conditions?. (2024). Azimli, Asil. In: International Economics. RePEc:eee:inteco:v:177:y:2024:i:c:s2110701724000015.

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2023The power of narrative sentiment in economic forecasts. (2023). Sharpe, Steven ; Hollrah, Christopher A ; Sinha, Nitish R. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1097-1121.

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2023Tax-loss harvesting with cryptocurrencies. (2023). Cong, Lin ; Landsman, Wayne ; Rabetti, Daniel ; Maydew, Edward. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:76:y:2023:i:2:s0165410123000319.

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2023Option Returns, Risk Premiums, and Demand Pressure in Energy Markets. (2023). Li, Bingxin ; Jacobs, Kris. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002679.

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2023Automation and the displacement of labor by capital: Asset pricing theory and empirical evidence. (2023). Knesl, Jii. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:2:p:271-296.

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2023Asset holders’ consumption risk and tests of conditional CCAPM. (2023). Jo, Chanik ; Elkamhi, Redouane. In: Journal of Financial Economics. RePEc:eee:jfinec:v:148:y:2023:i:3:p:220-244.

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2023Household deposits and consumer sentiment expectations: Evidence from Eurozone. (2023). Tsouknidis, Dimitris ; Louhichi, Wael ; Ftiti, Zied ; Anastasiou, Dimitris. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:131:y:2023:i:c:s0261560622001784.

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2024What difference do new factor models make in portfolio allocation?. (2024). Jiang, Fuwei ; Huang, Dashan ; Fabozzi, Frank J ; Wang, Jiexun. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:140:y:2024:i:c:s0261560623001985.

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2024Nominal exchange rates and net foreign assets dynamics: The stabilization role of valuation effects. (2024). Eugeni, Sara. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:141:y:2024:i:c:s0261560624000056.

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2023On history-dependent optimization models: A unified framework to analyze models with habits, satiation and optimal growth. (2023). Ulus, Ayegul Yildiz ; Morhaim, Lisa. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:105:y:2023:i:c:s0304406822001331.

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2023On the concavity of consumption function under habit formation. (2023). Li, Lun ; Liu, Haoyu. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:106:y:2023:i:c:s0304406823000228.

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2023Wealth Inequality and Endogenous Growth. (2023). Lee, Byoungchan. In: Journal of Monetary Economics. RePEc:eee:moneco:v:133:y:2023:i:c:p:132-148.

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2023Rational inattention, misallocation, and the aggregate economy. (2023). Gondhi, Naveen. In: Journal of Monetary Economics. RePEc:eee:moneco:v:136:y:2023:i:c:p:50-75.

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2023A stochastic card balance management problem with continuous and batch-type bilateral transactions. (2023). Barron, Yonit. In: Operations Research Perspectives. RePEc:eee:oprepe:v:10:y:2023:i:c:s221471602300009x.

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2023Asset pricing with two types of heterogeneous consumption volatilities in mind: Evidence from China. (2023). Yan, Youliang ; Lin, Jianyi ; Chen, Qi-An. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x22001858.

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2023How does exchange rate elasticity of aggregate consumption adjust currency risk price in the stock market?. (2023). Li, Huashi ; Chen, Qi-An. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:590-610.

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2024Industry bubbles and unexpected consumption shocks: A cross-sectional explanation of stock returns under recursive preferences. (2024). Lago-Balsalobre, Ruben ; Alonso-Conde, Ana B ; Rojo-Suarez, Javier. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1156-1169.

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2024Why risk attitude differs between macro and micro level? A decoherence perspective. (2024). Zhang, Yuwei ; Zhu, Chao ; Yi, Zhen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:978-997.

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2024Local stock liquidity and local factors: Fresh evidence from US firms across states. (2024). Apergis, Nicholas ; Dastidar, Sayantan Ghosh. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002386.

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2023Caregiving subsidies and spousal early retirement intentions. (2022). Costa-Font, Joan ; Vilaplana-Prieto, Cristina ; costa -Font, Joan . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:114908.

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2023The Missing Tail Risk in Option Prices. (2023). Sattiraju, Sai ; Matschke, Johannes ; Melek, Nida Akir ; Brown, Jason. In: Research Working Paper. RePEc:fip:fedkrw:96072.

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2023Assessing the Use of Gold as a Zero-Beta Asset in Empirical Asset Pricing: Application to the US Equity Market. (2023). Ahmed, Yousry ; Elamer, Ahmed A ; Godfrey, Christopher ; Abdou, Hussein A ; Abdullah, Muhammad. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:3:p:204-:d:1098335.

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2023.

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2023.

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2023Household Heterogeneity in Macroeconomic Models: A Historical Perspective. (2023). Duarte, Pedro Garcia ; Cherrier, Beatrice ; Saidi, Aurelien. In: Post-Print. RePEc:hal:journl:hal-04108500.

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2023Mean-variance dynamic portfolio allocation with transaction costs: a Wiener chaos expansion approach. (2023). Picard, Tom ; Lelong, Jerome ; Cousin, Areski. In: Working Papers. RePEc:hal:wpaper:hal-04086378.

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More than 100 citations found, this list is not complete...

George M. Constantinides is editor of


Journal
Handbook of the Economics of Finance
Handbook of the Economics of Finance

George M. Constantinides has edited the books:


YearTitleTypeCited

Works by George M. Constantinides:


YearTitleTypeCited
2020Mispriced index option portfolios In: Financial Management.
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article9
2017Mispriced Index Option Portfolios.(2017) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 9
paper
1978Market Risk Adjustment in Project Valuation. In: Journal of Finance.
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article60
1980 Optimal Liquidation of Assets in the Presence of Personal Taxes: Implications for Asset Pricing. In: Journal of Finance.
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article19
1982 Optimal Bond Trading with Personal Tax: Implications for Bond Prices and Estimated Tax Brackets and Yield Curves. In: Journal of Finance.
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article6
1983Optimal Bond Trading with Personal Taxes: Implications for Bond Prices and Estimated Tax Brackets and Yield Curves.(1983) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 6
paper
1982 To Pay or Not to Pay Dividend: Discussion. In: Journal of Finance.
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article0
1985 Debt and Taxes and Uncertainty: Discussion. In: Journal of Finance.
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article0
1985 The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence: Discussion. In: Journal of Finance.
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article14
2001Merton H. Miller (Editors Note) In: Journal of Finance.
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article0
2002Rational Asset Prices In: Journal of Finance.
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article48
2002Rational Asset Prices.(2002) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 48
paper
2017Asset Pricing with Countercyclical Household Consumption Risk In: Journal of Finance.
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article57
2014Asset Pricing with Countercyclical Household Consumption Risk.(2014) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 57
paper
2015Asset Pricing with Countercyclical Household Consumption Risk.(2015) In: 2015 Meeting Papers.
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This paper has nother version. Agregated cites: 57
paper
2006MARKET ORGANIZATION AND THE PRICES OF FINANCIAL ASSETS* In: Manchester School.
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article0
2005Market Oganization and the prices of financial Assets.(2005) In: Money Macro and Finance (MMF) Research Group Conference 2005.
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This paper has nother version. Agregated cites: 0
paper
2001Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities In: Mathematical Finance.
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article21
Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities..() In: CRSP working papers.
[Citation analysis]
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1991Habit persistence and durability in aggregate consumption: Empirical tests In: Journal of Financial Economics.
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1991Habit Persistence and Durability in Aggregate Consumption: Empirical Tests.(1991) In: NBER Working Papers.
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2008Asset Pricing Tests with Long Run Risks in Consumption Growth.(2008) In: NBER Working Papers.
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1997Junior Cant Borrow: A New Perspective on the Equity Premium Puzzle In: Columbia - Graduate School of Business.
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1998Junior Cant Borrow: A New Perspective on the Equity Premium Puzzle.(1998) In: NBER Working Papers.
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2002Junior Cant Borrow: A New Perspective on the Equity Premium Puzzle.(2002) In: The Quarterly Journal of Economics.
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1999Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence In: Rodney L. White Center for Financial Research Working Papers.
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1999Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence.(1999) In: NBER Working Papers.
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2002Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence.(2002) In: NBER Working Papers.
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2002Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence.(2002) In: Journal of Political Economy.
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1999Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence.(1999) In: CRSP working papers.
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1976Stochastic Cash Management with Fixed and Proportional Transaction Costs In: Management Science.
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1976Note--Optimal Portfolio Revision with Proportional Transaction Costs: Extension to Hara Utility Functions and Exogenous Deterministic Income In: Management Science.
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1979Multiperiod Consumption and Investment Behavior with Convex Transactions Costs In: Management Science.
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1978Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time In: Operations Research.
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2002Junior Must Pay: Pricing the Implicit Put in Privatizing Social Security.(2002) In: NBER Working Papers.
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2011The Puzzle of Index Option Returns In: Working Paper Series of the Department of Economics, University of Konstanz.
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2012The Puzzle of Index Option Returns.(2012) In: Working Paper Series of the Department of Economics, University of Konstanz.
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2013The Puzzle of Index Option Returns.(2013) In: The Review of Asset Pricing Studies.
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1997Transaction Costs and the Pricing of Financial Assets In: Multinational Finance Journal.
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2005Junior is Rich: Bequests as Consumption In: NBER Working Papers.
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2007Junior is rich: bequests as consumption.(2007) In: Economic Theory.
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2008Mispricing of S&P 500 Index Options In: NBER Working Papers.
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2009Mispricing of S&P 500 Index Options.(2009) In: The Review of Financial Studies.
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2009Mispricing of S&P 500 Index Options.(2009) In: The Review of Financial Studies.
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2005Mispricing of S&P 500 index options.(2005) In: CoFE Discussion Papers.
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2010The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth In: NBER Working Papers.
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2012The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth.(2012) In: 2012 Meeting Papers.
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2010Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence In: NBER Working Papers.
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2008Are options on index futures profitable for risk averse investors? Empirical evidence.(2008) In: CoFE Discussion Papers.
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2014Prices, Consumption, and Dividends Over the Business Cycle: A Tale of Two Regimes In: NBER Working Papers.
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2015The Supply and Demand of S&P 500 Put Options In: NBER Working Papers.
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2021The Supply and Demand of S&P 500 Put Options.(2021) In: Critical Finance Review.
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2017What Information Drives Asset Prices? In: NBER Working Papers.
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2021What Information Drives Asset Prices?.(2021) In: The Review of Asset Pricing Studies.
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2021Welfare Costs of Idiosyncratic and Aggregate Consumption Shocks In: NBER Working Papers.
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2023Sentiment, Productivity, and Economic Growth In: NBER Working Papers.
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2021Mispricing of Index Options with Respect to Stochastic Dominance Bounds? A Reply In: Critical Finance Review.
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2007Option Pricing: Real and Risk-Neutral Distributions In: MPRA Paper.
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2005Option pricing: Real and risk-neutral distributions.(2005) In: CoFE Discussion Papers.
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1999Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences In: Finance and Stochastics.
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1982Intertemporal Asset Pricing with Heterogeneous Consumers and without Demand Aggregation. In: The Journal of Business.
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2005Capital Market Equilibrium with Transaction Costs.(2005) In: World Scientific Book Chapters.
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2015Financial Derivatives:Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps In: World Scientific Books.
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2005Theory of Valuation: Overview and Recent Developments In: World Scientific Book Chapters.
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2015Introduction to Forward and Futures Contracts In: World Scientific Book Chapters.
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2015Pricing Forwards and Futures In: World Scientific Book Chapters.
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2015Interest Rate and Currency Swaps In: World Scientific Book Chapters.
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2015Introduction to Options and No-Arbitrage Restrictions In: World Scientific Book Chapters.
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2015Trading Strategies and Slope and Convexity Restrictions In: World Scientific Book Chapters.
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2015Optimal Early Exercise of American Options In: World Scientific Book Chapters.
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2015Binomial Option Pricing In: World Scientific Book Chapters.
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2015Using the Binomial Model In: World Scientific Book Chapters.
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2015The Black–Scholes–Merton Option Pricing Formula In: World Scientific Book Chapters.
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2015Options on Futures In: World Scientific Book Chapters.
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2015Risk Management In: World Scientific Book Chapters.
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2015Empirical Evidence and Fixes In: World Scientific Book Chapters.
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2015Corporate Securities and Credit Risk In: World Scientific Book Chapters.
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