George M. Constantinides
Leo Melamed Professor of Finance
Can Positive Thinking Fuel Economic Booms?
A study of data from 17 countries provides a nuanced answer.
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Biography
George Constantinides studies the causes of the historically observed premium of equity returns over bond returns, the value premium, and the size premium; the pricing and hedging of options, futures, and other derivatives; the effect of market sentiment on economic development and productivity; the effect of transaction costs and taxes on the pricing of derivatives; and portfolio management. He has published numerous papers in distinguished academic periodicals. Subjects he has covered include “Asset Pricing with Countercyclical Household Consumption Risk,” written with A. Ghosh in the Journal of Finance; "Mispricing of S&P 500 Index Options," written with J. C. Jackwerth and S. Perrakis in the Review of Financial Studies; "Rational Asset Prices," in the Journal of Finance; and "Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle," written with J. B. Donaldson and R. Mehra in the Quarterly Journal of Economics.
A former president of the American Finance Association and of the Society for Financial Studies, Constantinides is a research associate at the National Bureau of Economic Research. He serves as a director and trustee of the Dimensional Fund Advisors' family of funds and trusts.
Constantinides earned a bachelor's degree from Oxford University and MBA and DBA degrees from Indiana University. He joined the Chicago Booth faculty in 1979, having previously taught at Carnegie Mellon University. He also visited Harvard University as a Marvin Bower Fellow.
Outside his research and teaching, he likes to spend time with family and friends, travel, scuba dive, read, listen to music, and discover new people, ideas, places, and restaurants.
Selected Publications
“What Information Drives Asset Prices?” The Review of Asset Pricing Studies 11 (December 2021), 837–885 (with A. Ghosh).
“The Supply and Demand of S&P 500 Options,” Critical Finance Review 10 (2021), 1-20 (with L. Lian).
“Mispriced Index Option Portfolios,” Financial Management 49 (Summer 2020), 297-330 (with M. Czerwonko and S. Perrakis).
“Asset Pricing: Models and Empirical Evidence,” Journal of Political Economy 125 (December 2017), 1782-1790.
“Asset Pricing with Countercyclical Household Consumption Risk,” Journal of Finance 73 (February 2017), 415-459 (with A. Ghosh).
“The Puzzle of Index Option Returns,” Review of Asset Pricing Studies 3 (December 2013), 229-257 (with J. C. Jackwerth and A. Z. Savov).
With M. Czerwonko, J. C. Jackwerth, and S. Perrakis, “Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence,” Journal of Finance 66, 1407-1437 (August 2011).
"Rational Asset Prices," Journal of Finance 57 (August 2002).
With A. Brav and C. Geczy, "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," Journal of Political Economy 110 (August 2002).
With J. B. Donaldson and R. Mehra, "Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle," Quarterly Journal of Economics 117 (February 2002).
With D. Duffie, "Asset Pricing with Heterogeneous Consumers," Journal of Political Economy 104 (1996).
2024 - 2025 Course Schedule
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Why It Pays to Protect Households from Personal Economic Shocks
Helping households avoid idiosyncratic shocks unrelated to the business cycle would yield huge benefits.
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CBR Briefing #69
Many economists believe that investors look at consumption growth alone, but they focus on a wider set of information.
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