George M. Constantinides, University of Chicago
Professor
Chicago, Illinois
gmc@chicagobooth.edu
Office:
(773) 702-7258
Expert In
Asset pricing tests
Asset pricing theory
Derivatives
Derivatives pricing
Equity premium puzzle
Hedging of derivatives
Hedging of fixed-income securities
Hedging of futures
Hedging of options
Options pricing
Portfolio management
Premium of equity returns over bond returns
Pricing of fixed-income securities
Term structure of interest rates
Transaction costs
Bio/Research
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 fixed-income securities, options, futures, and other derivatives; the effects of transaction costs and taxes on th...
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Bio/Research
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 fixed-income securities, options, futures, and other derivatives; the effects 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 "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.
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