G
George M. Constantinides
Researcher at University of Chicago
Publications - 102
Citations - 13949
George M. Constantinides is an academic researcher from University of Chicago. The author has contributed to research in topics: Capital asset pricing model & Equity premium puzzle. The author has an hindex of 47, co-authored 101 publications receiving 13516 citations. Previous affiliations of George M. Constantinides include Carnegie Mellon University & National Bureau of Economic Research.
Papers
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Habit Formation: A Resolution of the Equity Premium Puzzle
TL;DR: In the context of an economy with rational expectations, Mehra and Prescott as discussed by the authors showed that the problem of the equity premium puzzle can be solved by relaxing the time separability of von Neumann-Morgenstern preferences to allow for adjacent complementarity in consumption.
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The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence: Discussion
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Asset Pricing with Heterogeneous Consumers
TL;DR: In this paper, a joint process of arbitrage-free asset prices, dividends, and aggregate income is shown to be supported in the equilibrium of an economy with judiciously modeled income heterogeneity.
Posted Content
Handbook of the Economics of Finance
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Capital Market Equilibrium with Transaction Costs
TL;DR: In this article, a two-asset, intertemporal portfolio selection model incorporating proportional transaction costs is formulated, and the demand for assets is shown to be sensitive to these costs.