The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
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Search results: 9.
Merton H. Miller
Published: 12/17/2002 | DOI: 10.1111/0022-1082.00362
George M. Constantinides
Rational Asset Prices
Published: 12/17/2002 | DOI: 10.1111/1540-6261.00471
George M. Constantinides
The mean, covariability, and predictability of the return of different classes of financial assets challenge the rational economic model for an explanation. The unconditional mean aggregate equity premium is almost seven percent per year and remains high after adjusting downwards the sample mean premium by introducing prior beliefs about the stationarity of the price–dividend ratio and the (non)forecastability of the long‐term dividend growth and price—dividend ratio. Recognition that idiosyncratic income shocks are uninsurable and concentrated in recessions contributes toward an explanation. Also borrowing constraints over the investors' life cycle that shift the stock market risk to the saving middle‐aged consumers contribute toward an explanation.
DISCUSSION
Published: 07/01/1985 | DOI: 10.1111/j.1540-6261.1985.tb05003.x
GEORGE M. CONSTANTINIDES
DISCUSSION
Published: 07/01/1985 | DOI: 10.1111/j.1540-6261.1985.tb04987.x
GEORGE M. CONSTANTINIDES
Asset Pricing with Countercyclical Household Consumption Risk
Published: 09/21/2016 | DOI: 10.1111/jofi.12471
GEORGE M. CONSTANTINIDES, ANISHA GHOSH
We show that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and drive asset prices. We construct a parsimonious model where heterogeneous households have recursive preferences. A single state variable drives the conditional cross‐sectional moments of household consumption growth. The estimated model fits well the unconditional cross‐sectional moments of household consumption growth and the moments of the risk‐free rate, equity premium, price‐dividend ratio, and aggregate dividend and consumption growth. The model‐implied risk‐free rate and price‐dividend ratio are procyclical, while the market return has countercyclical mean and variance. Finally, household consumption risk explains the cross section of excess returns.
Are Options on Index Futures Profitable for Risk‐Averse Investors? Empirical Evidence
Published: 07/19/2011 | DOI: 10.1111/j.1540-6261.2011.01665.x
GEORGE M. CONSTANTINIDES, MICHAL CZERWONKO, JENS CARSTEN JACKWERTH, STYLIANOS PERRAKIS
American options on the S&P 500 index futures that violate the stochastic dominance bounds of Constantinides and Perrakis (2009) from 1983 to 2006 are identified as potentially profitable trades. Call bid prices more frequently violate their upper bound than put bid prices do, while violations of the lower bounds by ask prices are infrequent. In out‐of‐sample tests of stochastic dominance, the writing of options that violate the upper bound increases the expected utility of any risk‐averse investor holding the market and cash, net of transaction costs and bid‐ask spreads. The results are economically significant and robust.