George M. Constantinides

About

George M. Constantinides is the Leo Melamed Professor of Finance at The University of Chicago Booth School of Business. His research focuses on the causes of the historically observed premium of equity returns over bond returns, known as the equity premium, as well as the value premium and the size premium. He studies the pricing and hedging of fixed-income securities, options, futures, and other derivatives, along with the effects of transaction costs and taxes on the pricing of derivatives, and portfolio management. He has published numerous papers in distinguished academic periodicals covering topics such as asset pricing with countercyclical household consumption risk, mispricing of S&P 500 index options, rational asset prices, and new perspectives on the equity premium puzzle. Constantinides is a former president of the American Finance Association and of the Society for Financial Studies. He is also a research associate at the National Bureau of Economic Research and serves as a director and trustee of the Dimensional Fund Advisors' family of funds and trusts.

Research topics

• Microeconomics
• Economics
• Market economy
• Monetary economics
• Business
• Public economics
• Econometrics

Selected publications

• Mispriced index option portfolios

  Financial Management · 2019-09-09 · 25 citations

  article1st authorCorresponding

  Abstract In model‐free out‐of‐sample tests, we find that the optimal portfolio of a utility maximizing investor trading in the S&P500 Index, cash, and index options bought at ask and written at bid prices stochastically dominates the optimal portfolio without options and yields returns with higher mean and lower volatility in most months from 1990 to 2013. Unlike earlier claims of overpriced puts, our portfolios include mostly short calls and are particularly profitable when maturity is shor…

  PublisherDOI

• The Supply and Demand of S&P 500 Put Options

  Critical Finance Review · 2021 · 9 citations

  1st authorCorresponding

  We model the supply of at-the-money (ATM) and out-of-the-money (OTM) S&P 500 index put options by risk-averse market makers (MMs) and their demand by risk-averse customers who hold the index and a risk free asset and buy puts as downside-risk protection. In equilibrium MMs are net sellers and customers are net buyers of index puts. Consistent with the data, the model-implied net buy of puts by customers is decreasing in the risk and put prices because the shift to the left of the supply curv…

  PublisherDOI

• Welfare Costs of Idiosyncratic and Aggregate Consumption Shocks

  SSRN Electronic Journal · 2021 · 7 citations

  1st authorCorresponding
  PublisherDOI

• Mispriced Index Option Portfolios

  National Bureau of Economic Research · 2017-08-01 · 7 citations

  preprintOpen access1st authorCorresponding

  The optimal portfolio of a utility-maximizing investor trading in the S&P 500 index and cash, subject to proportional transaction costs, becomes stochastically dominated when overlaid with a zero-net-cost portfolio of S&P 500 options bought at their ask and written at their bid price in most months over 1990-2013. Dominance is prevalent when the ATM-IV is high, right skew is low, and option maturity is short. The portfolios include mostly calls and positions are overwhelmingly short. Similar res…

  PublisherOA PDFDOI

• Asset Pricing: Models and Empirical Evidence

  Journal of Political Economy · 2017-12-01 · 7 citations

  article1st authorCorresponding
  PublisherDOI

Frequent coauthors

• Mike Gallmeyer

  Financial Research (Hungary)

  225 shared

• Andrea Tamoni

  Financial Research (Hungary)

  225 shared

• Yukun Liu

  East China Normal University

  225 shared

• Jianjun Miao

  Boston University

  225 shared

• Sydney C. Ludvigson

  225 shared

• Indrajit Mitra

  Federal Reserve Bank of Atlanta

  225 shared

• Yang Liu

  Guangdong University of Petrochemical Technology

  225 shared

• Francisco Palomino

  225 shared

Education

• B.A.

  Oxford University

• Other

  Indiana University

• Other

  Indiana University

Awards & honors

• Distinguished Alumni Award Honorees

Similar researchers at University of Chicago

• Eugene F. Famah-119
• Douglas W. Diamondh-54
• Emanuele Colonnellih-16