23
H index
33
i10 index
7436
Citations
University of Chicago | 23 H index 33 i10 index 7436 Citations RESEARCH PRODUCTION: 49 Articles 40 Papers 1 Books 16 Chapters EDITOR: RESEARCH ACTIVITY: 47 years (1976 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pco144 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with George M. Constantinides. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
---|---|
Journal of Finance | 9 |
Journal of Financial Economics | 7 |
Journal of Political Economy | 5 |
The Review of Financial Studies | 3 |
The Review of Asset Pricing Studies | 3 |
Critical Finance Review | 2 |
Journal of Economic Theory | 2 |
Year | Title of citing document | |
---|---|---|
2023 | Identification in Economies with Frictions. (2020). Tryphonides, Andreas. In: Papers. RePEc:arx:papers:2005.02010. Full description at Econpapers || Download paper | |
2024 | Retirement decision and optimal consumption-investment under addictive habit persistence. (2020). Yuan, Fengyi ; Liang, Zongxia ; Guan, Guohui. In: Papers. RePEc:arx:papers:2011.10166. Full description at Econpapers || Download paper | |
2024 | Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum. (2021). Zhang, Qinyi ; Yu, Xiang ; Li, Xun . In: Papers. RePEc:arx:papers:2108.02648. Full description at Econpapers || Download paper | |
2024 | A 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. Full description at Econpapers || Download paper | |
2024 | Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949. Full description at Econpapers || Download paper | |
2023 | Labor Income Risk and the Cross-Section of Expected Returns. (2023). Pinchuk, Mykola. In: Papers. RePEc:arx:papers:2301.09173. Full description at Econpapers || Download paper | |
2023 | Optimal 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. Full description at Econpapers || Download paper | |
2023 | A greedy algorithm for habit formation under multiplicative utility. (2023). Salisbury, Thomas S ; Kirusheva, Snezhana. In: Papers. RePEc:arx:papers:2305.04748. Full description at Econpapers || Download paper | |
2023 | Mean-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. Full description at Econpapers || Download paper | |
2024 | Consumption Partial Insurance in the Presence of Tail Income Risk. (2023). Theloudis, Alexandros ; Ghosh, Anisha. In: Papers. RePEc:arx:papers:2306.13208. Full description at Econpapers || Download paper | |
2024 | Liquidity 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. Full description at Econpapers || Download paper | |
2023 | Non-Concave Utility Maximization with Transaction Costs. (2023). Yang, Chen ; Qian, Shuaijie. In: Papers. RePEc:arx:papers:2307.02178. Full description at Econpapers || Download paper | |
2023 | Singular Control in a Cash Management Model with Ambiguity. (2023). , Jacco ; Hellmann, Tobias ; Ferrari, Giorgio ; Archankul, Arnon. In: Papers. RePEc:arx:papers:2309.12014. Full description at Econpapers || Download paper | |
2023 | Life cycle insurance, bequest motives and annuity loads. (2023). Shevchenko, Pavel V ; Kingston, Geoffrey ; Arandjelovi, Aleksandar. In: Papers. RePEc:arx:papers:2310.06274. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Assessing 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. Full description at Econpapers || Download paper | |
2023 | Retail 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. Full description at Econpapers || Download paper | |
2023 | Relative 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. Full description at Econpapers || Download paper | |
2023 | Optimal Financial Transaction Taxes. (2023). Davila, Eduardo. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:5-61. Full description at Econpapers || Download paper | |
2023 | CLO 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. Full description at Econpapers || Download paper | |
2023 | Pockets 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. Full description at Econpapers || Download paper | |
2023 | Sentiment 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. Full description at Econpapers || Download paper | |
2023 | Homemade 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. Full description at Econpapers || Download paper | |
2023 | Personal 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. Full description at Econpapers || Download paper | |
2024 | SIMULATION-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. Full description at Econpapers || Download paper | |
2024 | . Full description at Econpapers || Download paper | |
2023 | Análisis 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. Full description at Econpapers || Download paper | |
2023 | Analysys 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. Full description at Econpapers || Download paper | |
2024 | Liquidity on Eurozone stock markets: A non-linear approach. (2024). Seyte, Franoise ; Souiki, Boumediene. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-01064. Full description at Econpapers || Download paper | |
2024 | Monetary asmmetries without (and with) price stickiness. (2024). Jaccard, Ivan. In: Working Paper Series. RePEc:ecb:ecbwps:20242928. Full description at Econpapers || Download paper | |
2024 | Proportional 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. Full description at Econpapers || Download paper | |
2023 | Mutual 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. Full description at Econpapers || Download paper | |
2023 | Dynamic 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. Full description at Econpapers || Download paper | |
2023 | Life 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. Full description at Econpapers || Download paper | |
2023 | Macroeconomic 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. Full description at Econpapers || Download paper | |
2024 | Stable 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. Full description at Econpapers || Download paper | |
2023 | Semiparametric estimation of latent variable asset pricing models. (2023). Dalderop, Jeroen. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001598. Full description at Econpapers || Download paper | |
2023 | Business-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. Full description at Econpapers || Download paper | |
2024 | Detecting identification failure in moment condition models. (2024). Forneron, Jean-Jacques. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002683. Full description at Econpapers || Download paper | |
2023 | Household 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. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2024 | International 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. Full description at Econpapers || Download paper | |
2024 | Carbon 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. Full description at Econpapers || Download paper | |
2023 | CBDC uncertainty: Financial market implications. (2023). Dunbar, Kwamie. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001230. Full description at Econpapers || Download paper | |
2023 | Predicting 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. Full description at Econpapers || Download paper | |
2024 | Stock 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. Full description at Econpapers || Download paper | |
2024 | The 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. Full description at Econpapers || Download paper | |
2023 | Religion 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. Full description at Econpapers || Download paper | |
2024 | Inequality, 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. Full description at Econpapers || Download paper | |
2024 | The 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. Full description at Econpapers || Download paper | |
2024 | The 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. Full description at Econpapers || Download paper | |
2023 | Market 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. Full description at Econpapers || Download paper | |
2023 | ETF 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. Full description at Econpapers || Download paper | |
2023 | Transaction costs, frequent trading, and stock prices. (2023). Isaenko, Sergey. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000647. Full description at Econpapers || Download paper | |
2023 | Optimal 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. Full description at Econpapers || Download paper | |
2023 | Optimal 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. Full description at Econpapers || Download paper | |
2023 | European 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. Full description at Econpapers || Download paper | |
2024 | Optimal 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. Full description at Econpapers || Download paper | |
2024 | Is 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Tax-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. Full description at Econpapers || Download paper | |
2023 | Option 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. Full description at Econpapers || Download paper | |
2023 | Automation 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. Full description at Econpapers || Download paper | |
2023 | Asset 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. Full description at Econpapers || Download paper | |
2023 | Household 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. Full description at Econpapers || Download paper | |
2024 | What 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. Full description at Econpapers || Download paper | |
2024 | Nominal 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. Full description at Econpapers || Download paper | |
2023 | On 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. Full description at Econpapers || Download paper | |
2023 | On 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. Full description at Econpapers || Download paper | |
2023 | Wealth Inequality and Endogenous Growth. (2023). Lee, Byoungchan. In: Journal of Monetary Economics. RePEc:eee:moneco:v:133:y:2023:i:c:p:132-148. Full description at Econpapers || Download paper | |
2023 | Rational 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. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2023 | Asset 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. Full description at Econpapers || Download paper | |
2023 | How 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. Full description at Econpapers || Download paper | |
2024 | Industry 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. Full description at Econpapers || Download paper | |
2024 | Why 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. Full description at Econpapers || Download paper | |
2024 | Local 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. Full description at Econpapers || Download paper | |
2023 | Caregiving 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. Full description at Econpapers || Download paper | |
2023 | The Missing Tail Risk in Option Prices. (2023). Sattiraju, Sai ; Matschke, Johannes ; Melek, Nida Akir ; Brown, Jason. In: Research Working Paper. RePEc:fip:fedkrw:96072. Full description at Econpapers || Download paper | |
2023 | Assessing 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. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Household Heterogeneity in Macroeconomic Models: A Historical Perspective. (2023). Duarte, Pedro Garcia ; Cherrier, Beatrice ; Saidi, Aurelien. In: Post-Print. RePEc:hal:journl:hal-04108500. Full description at Econpapers || Download paper | |
2023 | Mean-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. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Journal | |
---|---|
Handbook of the Economics of Finance | |
Handbook of the Economics of Finance |
Year | Title | Type | Cited |
---|
Year | Title | Type | Cited |
---|---|---|---|
2020 | Mispriced index option portfolios In: Financial Management. [Full Text][Citation analysis] | article | 9 |
2017 | Mispriced Index Option Portfolios.(2017) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
1978 | Market Risk Adjustment in Project Valuation. In: Journal of Finance. [Full Text][Citation analysis] | article | 60 |
1980 | Optimal Liquidation of Assets in the Presence of Personal Taxes: Implications for Asset Pricing. In: Journal of Finance. [Full Text][Citation analysis] | article | 19 |
1982 | Optimal Bond Trading with Personal Tax: Implications for Bond Prices and Estimated Tax Brackets and Yield Curves. In: Journal of Finance. [Full Text][Citation analysis] | article | 6 |
1983 | Optimal Bond Trading with Personal Taxes: Implications for Bond Prices and Estimated Tax Brackets and Yield Curves.(1983) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
1982 | To Pay or Not to Pay Dividend: Discussion. In: Journal of Finance. [Full Text][Citation analysis] | article | 0 |
1985 | Debt and Taxes and Uncertainty: Discussion. In: Journal of Finance. [Full Text][Citation analysis] | article | 0 |
1985 | The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence: Discussion. In: Journal of Finance. [Full Text][Citation analysis] | article | 14 |
2001 | Merton H. Miller (Editors Note) In: Journal of Finance. [Full Text][Citation analysis] | article | 0 |
2002 | Rational Asset Prices In: Journal of Finance. [Full Text][Citation analysis] | article | 48 |
2002 | Rational Asset Prices.(2002) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 48 | paper | |
2017 | Asset Pricing with Countercyclical Household Consumption Risk In: Journal of Finance. [Full Text][Citation analysis] | article | 57 |
2014 | Asset Pricing with Countercyclical Household Consumption Risk.(2014) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 57 | paper | |
2015 | Asset Pricing with Countercyclical Household Consumption Risk.(2015) In: 2015 Meeting Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 57 | paper | |
2006 | MARKET ORGANIZATION AND THE PRICES OF FINANCIAL ASSETS* In: Manchester School. [Full Text][Citation analysis] | article | 0 |
2005 | Market Oganization and the prices of financial Assets.(2005) In: Money Macro and Finance (MMF) Research Group Conference 2005. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2001 | Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities In: Mathematical Finance. [Full Text][Citation analysis] | article | 21 |
Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities..() In: CRSP working papers. [Citation analysis] This paper has nother version. Agregated cites: 21 | paper | ||
1990 | Habit formation: a resolution of the equity premium puzzle In: Levine's Working Paper Archive. [Full Text][Citation analysis] | paper | 1045 |
1990 | Habit Formation: A Resolution of the Equity Premium Puzzle..(1990) In: Journal of Political Economy. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1045 | article | |
1979 | A Note on the Suboptimality of Dollar-Cost Averaging as an Investment Policy In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 19 |
1983 | Capital Market Equilibrium with Personal Tax. In: Econometrica. [Full Text][Citation analysis] | article | 124 |
2002 | Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 22 |
2002 | Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs.(2002) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
1993 | Time nonseparability in aggregate consumption : International evidence In: European Economic Review. [Full Text][Citation analysis] | article | 59 |
1992 | Time Nonseparability in Aggregate Consumption: International Evidence.(1992) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 59 | paper | |
1976 | Portfolio selection with transactions costs In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 142 |
1984 | Strategic analysis of the competitive exercise of certain financial options In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 8 |
1984 | Optimal stock trading with personal taxes : Implications for prices and the abnormal January returns In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 113 |
1983 | Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns.(1983) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 113 | paper | |
1984 | Optimal bond trading with personal taxes In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 53 |
2005 | OPTIMAL BOND TRADING WITH PERSONAL TAXES.(2005) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 53 | chapter | |
1984 | Warrant exercise and bond conversion in competitive markets In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 17 |
1991 | Habit persistence and durability in aggregate consumption: Empirical tests In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 272 |
1991 | Habit Persistence and Durability in Aggregate Consumption: Empirical Tests.(1991) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 272 | paper | |
1976 | Comment on Chen, Kim and Kon In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 1 |
1976 | Cash management: An inventory control limit approach : Richard Homonoff and David Wiley Mullins, Jr., (D.C. Heath, Lexington, 1975) pp. xv + 104 In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 0 |
1980 | Admissible uncertainty in the intertemporal asset pricing model In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 15 |
1988 | Optimal Population Growth and the Social Welfare Function In: Eastern Economic Journal. [Full Text][Citation analysis] | article | 2 |
2008 | Asset pricing tests with long run risks in consumption growth In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 68 |
2008 | Asset Pricing Tests with Long Run Risks in Consumption Growth.(2008) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 68 | paper | |
2011 | Asset Pricing Tests with Long-run Risks in Consumption Growth.(2011) In: The Review of Asset Pricing Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 68 | article | |
2017 | The Past, Present, and Future of Economics: A Celebration of the 125-Year Anniversary of the JPE and of Chicago Economics In: Natural Field Experiments. [Full Text][Citation analysis] | paper | 3 |
1997 | Junior Cant Borrow: A New Perspective on the Equity Premium Puzzle In: Columbia - Graduate School of Business. [Citation analysis] | paper | 249 |
1998 | Junior Cant Borrow: A New Perspective on the Equity Premium Puzzle.(1998) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 249 | paper | |
2002 | Junior Cant Borrow: A New Perspective on the Equity Premium Puzzle.(2002) In: The Quarterly Journal of Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 249 | article | |
Junior Cant borrow: A New Perspective on the Equity Premium Puzzle..() In: CRSP working papers. [Citation analysis] This paper has nother version. Agregated cites: 249 | paper | ||
1999 | Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence In: Rodney L. White Center for Financial Research Working Papers. [Full Text][Citation analysis] | paper | 235 |
1999 | Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence.(1999) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 235 | paper | |
2002 | Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence.(2002) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 235 | paper | |
2002 | Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence.(2002) In: Journal of Political Economy. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 235 | article | |
1999 | Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence.(1999) In: CRSP working papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 235 | paper | |
1976 | Stochastic Cash Management with Fixed and Proportional Transaction Costs In: Management Science. [Full Text][Citation analysis] | article | 27 |
1976 | Note--Optimal Portfolio Revision with Proportional Transaction Costs: Extension to Hara Utility Functions and Exogenous Deterministic Income In: Management Science. [Full Text][Citation analysis] | article | 4 |
1979 | Multiperiod Consumption and Investment Behavior with Convex Transactions Costs In: Management Science. [Full Text][Citation analysis] | article | 47 |
1978 | Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time In: Operations Research. [Full Text][Citation analysis] | article | 51 |
2005 | Junior must pay: pricing the implicit put in privatizing Social Security In: Annals of Finance. [Full Text][Citation analysis] | article | 12 |
2002 | Junior Must Pay: Pricing the Implicit Put in Privatizing Social Security.(2002) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
2011 | The Puzzle of Index Option Returns In: Working Paper Series of the Department of Economics, University of Konstanz. [Full Text][Citation analysis] | paper | 48 |
2012 | The Puzzle of Index Option Returns.(2012) In: Working Paper Series of the Department of Economics, University of Konstanz. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 48 | paper | |
2013 | The Puzzle of Index Option Returns.(2013) In: The Review of Asset Pricing Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 48 | article | |
1997 | Transaction Costs and the Pricing of Financial Assets In: Multinational Finance Journal. [Full Text][Citation analysis] | article | 6 |
2005 | Junior is Rich: Bequests as Consumption In: NBER Working Papers. [Full Text][Citation analysis] | paper | 14 |
2007 | Junior is rich: bequests as consumption.(2007) In: Economic Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
2008 | Mispricing of S&P 500 Index Options In: NBER Working Papers. [Full Text][Citation analysis] | paper | 47 |
2009 | Mispricing of S&P 500 Index Options.(2009) In: The Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | article | |
2009 | Mispricing of S&P 500 Index Options.(2009) In: The Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | article | |
2005 | Mispricing of S&P 500 index options.(2005) In: CoFE Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | paper | |
2010 | The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth In: NBER Working Papers. [Full Text][Citation analysis] | paper | 6 |
2012 | The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth.(2012) In: 2012 Meeting Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2010 | Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2008 | Are options on index futures profitable for risk averse investors? Empirical evidence.(2008) In: CoFE Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2014 | Prices, Consumption, and Dividends Over the Business Cycle: A Tale of Two Regimes In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2015 | The Supply and Demand of S&P 500 Put Options In: NBER Working Papers. [Full Text][Citation analysis] | paper | 5 |
2021 | The Supply and Demand of S&P 500 Put Options.(2021) In: Critical Finance Review. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2017 | What Information Drives Asset Prices? In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
2021 | What Information Drives Asset Prices?.(2021) In: The Review of Asset Pricing Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
2021 | Welfare Costs of Idiosyncratic and Aggregate Consumption Shocks In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2023 | Sentiment, Productivity, and Economic Growth In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2021 | Mispricing of Index Options with Respect to Stochastic Dominance Bounds? A Reply In: Critical Finance Review. [Full Text][Citation analysis] | article | 0 |
1992 | A Theory of the Nominal Term Structure of Interest Rates. In: The Review of Financial Studies. [Full Text][Citation analysis] | article | 156 |
2007 | Option Pricing: Real and Risk-Neutral Distributions In: MPRA Paper. [Full Text][Citation analysis] | paper | 10 |
2005 | Option pricing: Real and risk-neutral distributions.(2005) In: CoFE Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
1999 | Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences In: Finance and Stochastics. [Full Text][Citation analysis] | article | 32 |
Bounds on Prices of Contingent Claims in an Intertemporal Economy with Proportional Transaction Costs and General Preferences.() In: CRSP working papers. [Citation analysis] This paper has nother version. Agregated cites: 32 | paper | ||
1982 | Intertemporal Asset Pricing with Heterogeneous Consumers and without Demand Aggregation. In: The Journal of Business. [Full Text][Citation analysis] | article | 134 |
2017 | Asset Pricing: Models and Empirical Evidence In: Journal of Political Economy. [Full Text][Citation analysis] | article | 2 |
1996 | Asset Pricing with Heterogeneous Consumers. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 671 |
1986 | Capital Market Equilibrium with Transaction Costs. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 393 |
2005 | Capital Market Equilibrium with Transaction Costs.(2005) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 393 | chapter | |
2015 | Financial Derivatives:Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps In: World Scientific Books. [Full Text][Citation analysis] | book | 0 |
2005 | Theory of Valuation: Overview and Recent Developments In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2015 | Introduction to Forward and Futures Contracts In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2015 | Pricing Forwards and Futures In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2015 | Interest Rate and Currency Swaps In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2015 | Introduction to Options and No-Arbitrage Restrictions In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2015 | Trading Strategies and Slope and Convexity Restrictions In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2015 | Optimal Early Exercise of American Options In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2015 | Binomial Option Pricing In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2015 | Using the Binomial Model In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2015 | The Black–Scholes–Merton Option Pricing Formula In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2015 | Options on Futures In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2015 | Risk Management In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2015 | Empirical Evidence and Fixes In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2015 | Corporate Securities and Credit Risk In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team