Articles

"Mispriced Index Option Portfolios," Financial Management 49 (Summer 2020), 297-330 (with M.Czerwonko and S. Perrakis)

"The Supply and Demand of S&P 500 Put Options" Critical Finance Review (forthcoming, with L. Lian)

"Asset Pricing: Models and Empirical Evidence", The Journal of Political Economy 125, no. 6 (December 2017): 1782-1790.

"Asset Pricing with Countercyclical Household Consumption Risk", The Journal of Finance (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).

"Asset Pricing Tests with Long Run Risks in Consumption Growth" Review of Asset Pricing Studies 1 (December 2011), 96-136 (with A. Ghosh)

"Are Options on Index Futures Profitable for Risk Averse Investors?" Journal of Finance 66 (August 2011), 1407-1437 (with M. Czerwonko, J. C. Jackwerth and S Perrakis)

"Mispricing of S&P 500 Index Options," Review of Financial Studies 22 (March 2009), 1247-1277 (with J. C. Jackwerth and S. Perrakis).

"Junior is Rich: Bequests as Consumption," Economic Theory (July 2007) 125-155 (with J. B. Donaldson and R. Mehra).

"Stochastic Dominance Bounds on American Option Prices in Markets with Frictions,"Review of Finance (January 2007) 71-115 (with S. Perrakis).

"Junior Must Pay: Pricing the Implicit Put in Privatizing Social Security," Annals of Finance 1 (January 2005), 1-34 (with J.B. Donaldson and R. Mehra).

"Rational Asset Prices," Journal of Finance 57 (August 2002), 1567-1591.

"Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," Journal of Political Economy 110 (August 2002, with A. Brav and C. Geczy). Reprinted in J. H. Cochrane, ed., Financial Markets and the Real Economy, The International Library of Critical Writings in Financial Economics. Edward Elgar, 2006.

"Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs," Journal of Economic Dynamics and Control 26 (July 2002), 1323-1352 (with S. Perrakis).

"Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle," Quarterly Journal of Economics 117 (February 2002), 269-296 (with J. B. Donaldson and R. Mehra).

"Bounds on Option Prices in an Intertemporal Setting with Proportional Transaction Costs and MultipleSecurities," Mathematical Finance 11 (July 2001), 331-346 (with T. Zariphopoulou).

"Bounds on Prices of Contingent Claims in an Intertemporal Economy with Proportional Transaction Costs andGeneral Preferences," Finance and Stochastics 3 (1999), 345-69 (with T. Zariphopoulou). Reprinted in G. M. Constantinides and A. G. Malliaris, eds., Options Markets. American Options, Numerical Methods and Risk Management, Volume III, The International Library of Critical Writings in Financial Economics, 6. Edward Elgar, 2001.

"Asset Pricing with Heterogeneous Consumers," Journal of Political Economy 104 (1996), 219-240 (with D. Duffie). Reprinted in J. H. Cochrane, ed., Financial Markets and the Real Economy, The International Library of Critical Writings in Financial Economics. Edward Elgar, forthcoming.

"Time Nonseparability in Aggregate Consumption: International Evidence," European Economic Review 37 (June 1993), 897-920 (with P. A. Braun and W. E. Ferson).

"A Theory of the Nominal Term Structure of Interest Rates," Review of Financial Studies 5 (1992), 531-52. Reprinted in L. Hughson, ed., The New Interest Rate Models, Risk Books. Reprinted also in G. M. Constantinides and A. G. Malliaris, eds., Options Markets. Interest Rate Derivatives, Exotics, Real Options and Empirical Evidence, Volume II, The International Library of Critical Writings in Financial Economics, 6. Edward Elgar, 2001.

"Habit Persistence and Durability in Aggregate Consumption: Empirical Tests," Journal of Financial Economics 29 (October 1991), 199-240 (with W. E. Ferson).

"Habit Formation: A Resolution of the Equity Premium Puzzle," Journal of Political Economy 98 (June 1990), 519-43.

"Optimal Investment with Stock Repurchase and Financing as Signals," Review of Financial Studies 2 (1989), 445-65 (with B. D. Grundy).

"Capital Market Equilibrium with Transaction Costs," Journal of Political Economy 94 (August 1986), 842-62. Reprinted in S. Bhattacharya and G. M. Constantinides, eds., Theory of Valuation: Frontiers of Modern Financial Theory, Volume 1, Totowa, NJ. Rowman and Littlefield, 1989.

"Optimal Bond Trading with Personal Taxes," Journal of Financial Economics 13 (September 1984), 299-335 (with J. E. Ingersoll). Reprinted in D. H. Miller and S. Myers, eds., Frontiers in Finance: The Batterymarch Fellowship Papers, Blackwell, 1990. Reprinted also in G. W. Schwert and C. W. Smith, eds., Empirical Research in Capital Markets, McGraw-Hill, 1992.

"Warrant Exercise and Bond Conversion in Competitive Markets," Journal of Financial Economics 13 (September 1984), 371-97.

"Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns," Journal of Financial Economics 13 (March 1984), 65-89. Reprinted in G. M. Constantinides and A. G. Malliaris, eds., Options Markets. Interest Rate Derivatives, Exotics, Real Options and Empirical Evidence, Volume II, The International Library of Critical Writings in Financial Economics, 6. Edward Elgar, 2001.

"Strategic Analysis of the Competitive Exercise of Certain Financial Options," Journal of Economic Theory 32 (February 1984), 128-38 (with R. W. Rosenthal).

"Capital Market Equilibrium with Personal Tax," Econometrica 51 (May 1983), 611-36.

"CVL Analysis and Break-Even Capital Budgeting," Cost and Management (March-April 1983, with Y. Ijiri and R. A. Leitch).

"Intertemporal Asset Pricing with Heterogeneous Consumers and without Demand Aggregation," Journal of Business 55 (April 1982), 253-67.

"Stochastic Cost-Volume-Profit Analysis with a Linear Demand Function," Decision Sciences (July 1981, with Y. Ijiri and R. A. Leitch).

"Optimal Liquidation of Assets in the Presence of Personal Taxes: Implications for Asset Pricing," The Journal of Finance 35 (May 1980), 439-49 (with M. S. Scholes).

"Admissible Uncertainty in the Intertemporal Asset Pricing Model," Journal of Financial Economics 8 (March 1980), 71-86.

"Multiperiod Consumption and Investment Behavior with Convex Transactions Costs," Management Science 25 (November 1979), 1127-37.

"A Note on the Suboptimality of Dollar-Cost Averaging as an Investment Policy," Journal of Financial and Quantitative Analysis 14 (June 1979), 443-49.

"Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time," Operations Research 26 (July - August 1978), 620-36 (with S. F. Richard).

"Market Risk Adjustment in Project Valuation," Journal of Finance 33 (May 1978), 603-16. Reprinted in G. M. Constantinides and A. G. Malliaris, eds.,Options Markets. Equity Options Markets: Foundations and Pricing, Volume I, The International Library of Critical Writings in Financial Economics, 6. Edward Elgar, 2001.

"Portfolio Selection with Transactions Costs," Journal of Economic Theory 13 (October 1976), 245-63 (with M. J. P. Magill).

“Stochastic Cash Management with Fixed and Proportional Transaction Costs,” Management Science 22 (August 1976), 1320-1331.