Junior must pay: pricing the implicit put in privatizing Social Security
G. M. Constantinides, J. B. Donaldson, R. Mehra
Proposals that a portion of the Social Security Trust Fund assets be invested in equities entail the possibility that a severe decline in equity prices will render the Fund’s assets insufficient to...
Corporate governance and control
Becht, Marco, Bolton, Patrick, Roell, Ailsa, G.M. Constantinides, M. Harris, R. M. Stulz
Corporate governance is concerned with the resolution of collective action problems among dispersed investors and the reconciliation of conflicts of interest between various corporate claimholders....
Agency, information and corporate investment
Stein, Jeremy C., G.M. Constantinides, M. Harris, R. M. Stulz
This essay surveys the body of research that asks how the efficiency of corporate investment is influenced by problems of asymmetric information and agency. I organize the material around two basic...
Brennan, Michael J., G.M. Constantinides, M. Harris, R. M. Stulz
This chapter is concerned with the classical applied problem of capital allocation by a corporation whose securities are traded in competitive and frictionless markets. Under reasonable assumptions...
Myers, Stewart C., G.M. Constantinides, M. Harris, R. M. Stulz
This review evaluates the four major theories of corporate financing: (1) the Modigliani-Miller theory of capital-structure irrelevance, in which firm values and real investment decisions are...
Investment banking and securities issuance
Ritter, Jay R., G.M. Constantinides, M. Harris, R. M. Stulz
This chapter analyzes the securities issuance process, focusing on initial public offerings (IPOs) and seasoned equity offerings (SEOs). The IPO literature documents three empirical patterns: 1)...
Tufano, Peter, G.M. Constantinides, M. Harris, R. M. Stulz
Although financial innovation has been an important part of the financial landscape throughout modern economic history, it has received relatively little attention in academia. This essay surveys the...
Allen, Franklin, Michaely, Roni, G.M. Constantinides, M. Harris, R. M. Stulz
This paper surveys the literature on payout policy. We start out by discussing several stylized facts that are important to the development of any comprehensive payout policy framework. We then...
Gorton, Gary, Winton, Andrew, G.M. Constantinides, M. Harris, R. M. Stulz
The savings/investment process in capitalist economies is organized around bank-like financial intermediaries ("banks[equal, rising dots]), making them a central institution of economic growth. These...
Stoll, Hans R., G.M. Constantinides, M. Harris, R. M. Stulz
Market microstructure deals with the purest form of financial intermediation -- the trading of a financial asset, such as a stock or a bond. In a trading market, assets are not transformed but are...
Arbitrage, state prices and portfolio theory
Dybvig, Philip H., Ross, Stephen A., G.M. Constantinides, M. Harris, R. M. Stulz
Neoclassical financial models provide the foundation for our understanding of finance. This chapter introduces the main ideas of neoclassical finance in a single-period context that avoids the...
Intertemporal asset pricing theory
Duffie, Darrell, G.M. Constantinides, M. Harris, R. M. Stulz
This is a survey of the basic theoretical foundations of intertemporal asset pricing theory. The broader theory is first reviewed in a simple discrete-time setting, emphasizing the key role of state...
Tests of multifactor pricing models, volatility bounds and portfolio performance
Ferson, Wayne E., G.M. Constantinides, M. Harris, R. M. Stulz
Three concepts: stochastic discount factors, multi-beta pricing and mean-variance efficiency, are at the core of modern empirical asset pricing. This chapter reviews these paradigms and the relations...
Consumption-based asset pricing
Campbell, John Y., G.M. Constantinides, M. Harris, R. M. Stulz
This chapter reviews the behavior of financial asset prices in relation to consumption. The chapter lists some important stylized facts that characterize U.S. data, and relates them to recent...
The equity premium in retrospect
Mehra, Rajnish, Prescott, Edward C., G.M. Constantinides, M. Harris, R. M. Stulz
This paper is a critical review of the literature on the "equity premium puzzle[equal, rising dots]. The puzzle, as originally articulated more than fifteen years ago, underscored the inability of...
Anomalies and market efficiency
Schwert, G. William, G.M. Constantinides, M. Harris, R. M. Stulz
Anomalies are empirical results that seem to be inconsistent with maintained theories of asset-pricing behavior. They indicate either market inefficiency (profit opportunities) or inadequacies in the...
Are financial assets priced locally or globally?
Karolyi, G. Andrew, Stulz, Rene M., G.M. Constantinides, M. Harris, R. M. Stulz
We review the international finance literature to assess the extent to which international factors affect financial asset demands and prices. International asset-pricing models with mean-variance...
Microstructure and asset pricing
Easley, David, O'Hara, Maureen, G.M. Constantinides, M. Harris, R. M. Stulz
Market microstructure and asset pricing both consider the behavior and formation of prices in asset markets. Yet neither literature explicitly recognizes the importance and role of the factors so...
A survey of behavioral finance
Barberis, Nicholas, Thaler, Richard, G.M. Constantinides, M. Harris, R. M. Stulz
Behavioral finance argues that some financial phenomena can plausibly be understood using models in which some agents are not fully rational. The field has two building blocks: limits to arbitrage,...
Whaley, Robert E., G.M. Constantinides, M. Harris, R. M. Stulz
The area of derivatives is arguably the most fascinating area within financial economics during the past thirty years. This chapter reviews the evolution of derivatives contract markets and...
Dai, Qiang, Singleton, Kenneth J., G.M. Constantinides, M. Harris, R. M. Stulz
This chapter surveys the literature on fixed-income pricing models, including dynamic term-structure models, and interest-rate sensitive, derivative pricing models. Our overview of conceptual...
Handbook of the Economics of Finance
G.M. Constantinides, M. Harris, R. M. Stulz
Financial Markets, Asset Pricing
Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle
Constantinides, G.M., Donalson, J.B., Mehra, R.
Ongoing questions on the historical mean and standard deviation of the return on equities and bonds and on the equilibrium demand for these securities are addressed in the context of a stationary,...
Junior Can't Borrow: a New Perspective on the Equity Premium Puzzle.
Constantinides, G.M., Donaldson, J.B., Mehra, R.
Ongoing questions on the historical mean and standard deviation of the return on equities and bonds and on the equilibrium demand for these securities are addressed in the context of a stationary,...