George M Constantinides
Biographic Data
| ID | 5849009 |
|---|---|
| NAME | George M Constantinides |
| GIVEN NAMES | George M |
| FAMILY NAME | Constantinides |
| SIGNATURE | CONSTANTINIDES G M |
| AFFILIATIONS | National Bureau of Economic Research |
| VERIFIED | No |
| TOTAL WORKS | 6 |
| TOTAL CITATIONS | 76 |
| AUTHOR COUNT | 6 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 1986 |
| LATEST PUBLICATION YEAR | 2017 |
| H-INDEX | 4 |
Asset Pricing: Models and Empirical Evidence
Handbook of the economics of finance SET
Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence
We present evidence that the equity premium and the premium of value stocks over growth stocks are consistent in the 198296 period with a stochastic discount factor calculated as the weighted average of individual households' marginal rate of substitution with low and economically plausible values of the relative risk aversion coefficient. Since these premia are not explained with an SDF calculated as the per capita marginal rate of substitution …
Asset Pricing with Heterogeneous Consumers
Empirical difficulties encountered by representative-consumer models are resolved in an economy with heterogeneity in the form of uninsurable, persistent, and heteroscedastic labor income shocks. Given the joint process of arbitrage-free labor prices, dividends, and aggregate income satisfying a certain joint restriction, it is shown that this process is supported in the equilibrium of an economy with judiciously modeled income heterogeneity. The…
Habit Formation: A Resolution of the Equity Premium Puzzle
The equity premium puzzle, identified by Rajnish Mehra and Edward C. Prescott, states that, for plausible values of the risk aversion coefficient, the difference of the expected rate of return on the stock market and the riskless rate of interest is too large, given the observed small variance of the growth rate in per capita consumption. The puzzle is resolved in the context of an economy with rational expectations once the time separability of …
Capital Market Equilibrium with Transaction Costs
A two-asset, intertemporal portfolio selection model is formulated incorporating proportional transaction costs. The demand for assets is shown to be sensitive to these costs. However, transaction costs have only a second-order effect on the liquidity premia implied by equilibrium asset returns: the derived utility is insensitive to deviations from the optimal portfolio proportions, and investors accommodate large transaction costs by drastically…
Habit Formation: A Resolution of the Equity Premium Puzzle
The equity premium puzzle, identified by Rajnish Mehra and Edward C. Prescott, states that, for plausible values of the risk aversion coefficient, the difference of the expected rate of return on the stock market and the riskless rate of interest is too large, given the observed small variance of the growth rate in per capita consumption. The puzzle is resolved in the context of an economy with rational expectations once the time separability of …
Asset Pricing with Heterogeneous Consumers
Empirical difficulties encountered by representative-consumer models are resolved in an economy with heterogeneity in the form of uninsurable, persistent, and heteroscedastic labor income shocks. Given the joint process of arbitrage-free labor prices, dividends, and aggregate income satisfying a certain joint restriction, it is shown that this process is supported in the equilibrium of an economy with judiciously modeled income heterogeneity. The…
Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence
We present evidence that the equity premium and the premium of value stocks over growth stocks are consistent in the 198296 period with a stochastic discount factor calculated as the weighted average of individual households' marginal rate of substitution with low and economically plausible values of the relative risk aversion coefficient. Since these premia are not explained with an SDF calculated as the per capita marginal rate of substitution …
Capital Market Equilibrium with Transaction Costs
A two-asset, intertemporal portfolio selection model is formulated incorporating proportional transaction costs. The demand for assets is shown to be sensitive to these costs. However, transaction costs have only a second-order effect on the liquidity premia implied by equilibrium asset returns: the derived utility is insensitive to deviations from the optimal portfolio proportions, and investors accommodate large transaction costs by drastically…
Capital Market Equilibrium with Transaction Costs
A two-asset, intertemporal portfolio selection model is formulated incorporating proportional transaction costs. The demand for assets is shown to be sensitive to these costs. However, transaction costs have only a second-order effect on the liquidity premia implied by equilibrium asset returns: the derived utility is insensitive to deviations from the optimal portfolio proportions, and investors accommodate large transaction costs by drastically…
Habit Formation: A Resolution of the Equity Premium Puzzle
The equity premium puzzle, identified by Rajnish Mehra and Edward C. Prescott, states that, for plausible values of the risk aversion coefficient, the difference of the expected rate of return on the stock market and the riskless rate of interest is too large, given the observed small variance of the growth rate in per capita consumption. The puzzle is resolved in the context of an economy with rational expectations once the time separability of …
Asset Pricing with Heterogeneous Consumers
Empirical difficulties encountered by representative-consumer models are resolved in an economy with heterogeneity in the form of uninsurable, persistent, and heteroscedastic labor income shocks. Given the joint process of arbitrage-free labor prices, dividends, and aggregate income satisfying a certain joint restriction, it is shown that this process is supported in the equilibrium of an economy with judiciously modeled income heterogeneity. The…
Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence
We present evidence that the equity premium and the premium of value stocks over growth stocks are consistent in the 198296 period with a stochastic discount factor calculated as the weighted average of individual households' marginal rate of substitution with low and economically plausible values of the relative risk aversion coefficient. Since these premia are not explained with an SDF calculated as the per capita marginal rate of substitution …
Handbook of the economics of finance SET
Asset Pricing: Models and Empirical Evidence
Economics (5 works) · Capital asset pricing model (4 works) · Econometrics (4 works) · Financial economics (4 works) · Financial Markets and Investment Strategies (4 works) · Microeconomics (4 works) · Complex Systems and Time Series Analysis (3 works) · Computer Science (3 works) · Consumption (sociology (3 works) · Economic theories and models (3 works)