조재호

Investments, Finance Theory 교수


교수 소개

Professor Jaeho Cho is on the faculty of finance at the College of Business Administration and the Graduate School of Business, Seoul National University (SNU). He has also served as Director of SNU Foundation. Before joining SNU in 1995, he had been a faculty member of the Department of Economics and Finance at Baruch College, the City University of New York (CUNY) since1988. In 2006, he visited Wharton School of the University of Pennsylvania as a visiting scholar, and in 2007 he taught at the University of Tokyo as a visiting professor. Professor Cho received his MBA and Ph.D. in finance from Wharton, and BA in business administration from SNU. He is a Chartered Financial Analyst, and a co-author of the two books, each entitled ‘Modern Corporate Finance’ and ‘Futures, Options, and Swaps,’ respectively (written in Korean).

Professor Jaeho Cho is primarily interested in theoretical analyses of asset pricing in general equilibrium. His representative research work includes exploring implications of non-standard intertemporal preferences (e.g., non-expected recursive utility function, habit formation) for stock and bond prices, the equity premium, the term premium, etc., and analyzing the effects of heterogeneous beliefs on asset pricing. His current research agenda includes such issues as asset allocations at different life-cycle stages, their implications for asset pricing, and comparing and characterizing international capital markets in terms of investors’ preferences. In addition, he is interested in valuing OTC derivative products.

경력사항

학술활동

[단행본]
‧ 현대재무관리 제 8판 (박정식, 박종원 공저), 2015, 다산출판사.

‧ 선물․옵션․스왑 제 1판 (박종원, 조규성 공저), 2009, 다산출판사.

‧ 현대재무관리연습 제 1판 (박정식, 박종원 공저), 2003, 다산출판사.


[학술논문]
‧ “경기변동에 따른 한국 기업의 자금조달패턴에 관한 연구,” (이동원 공저), 재무연구 29권 2호 (2016), 235-264.

‧ “Stock Price Reactions to News and the Momentum Effect in the Korean Stock Market,“ (with Dongweon Lee), Asia-Pacific Journal of Financial Studies, 43(2014), 556-588.

‧ “이산시간 이자율기간구조모형,”(박정민 공저), 금융연구 26권 3호 (2012), 93-153.

‧ “이자율기간구조모형의 유효성 분석,”(박정민, 김태형 공저), 한국증권학회지 41권 2호 (2012), 263-308.

‧ “새로운 모수추정법을 시용한 구조형 기업부도확률모형의 예측성과,” (강대일 공저), 재무연구 24권 4호 (2011), 1021-1067.

‧ “최초 통과시점 확률과정을 사용한 부도 포트폴리오 연구,”(강대일 공저), 재무관리연구 28권 2호 (2011), 149-187.

‧ “한국주식시장에서의 기업고유변동성의 추세와 결정요인,”(이종현 공저), 경영논집 44권 통합호 (2010), 249-287.

‧ “확률할인요소 및 가상펀드를 이용한 주식형 펀드의 성과 평가,”(김봉준 공저), 재무관리연구 27권 3호 (2010), 183-228.

‧ “최소거리검정을 이용한 자산가격결정모형의 평가,”(김봉준 공저), 한국증권학회지 39권 2호 (2010), 267-305.

‧ “비유동성 및 거래비용과 단기반전현상을 이용한 반대투자전략의 성과에 관한 연구,” (윤호중 공저), 경영논집 40권 3·4호 (2006), 61-88.

‧ “주식의 대규모거래가 수익률과 주문불균형에 미치는 영향,”(강원석 공저), 경영논집 40권 3·4호 (2006), 33-59.

‧ “On the Connection between the Expectations Hypothesis of the Term Structure of Interest Rates and Risk Neutrality," 계량경제학보 17권 1호 (2006), 23-38.

‧ "KOSPI 200 선물‧옵션 시장의 현황과 나아갈 방향," 경영논집 38권 4호 (2004), 49-98.

‧ "변동성 콘을 이용한 옵션투자전략의 유효성 분석," (양은정 공저), 증권‧금융저널 2권 1호 (2003), 85-109.

‧ "증권사 추천정보에 대한 투자자별 행동유형과 성과평가," (윤선흠 공저) 증권‧금융저널 1권 1호 (2002), 97-114.

‧ “Intertemporal Substitution, Risk Aversion, and Asset Pricing under Heterogeneous Beliefs," 금융학회지 6권 2호 (2001), 1-20.

‧ "한국 주식시장의 수익률 프리미엄에 관한 연구," (독고 윤, 박종원 공저), 재무연구 14권 1호 (2001), 1-22.

‧ "Term Premia under a Non-expected Utility Function: A Portfolio Approach," 금융학회지 5권 2호 (별호) (2000), 177-187.

‧ "평균-분산 포트폴리오 모형의 재고찰," 경영논집 34권 4호 (2000), 131-145.

‧ "차익거래와 재무이론," 경영논집 33권 2호 (1999), 174-194.

‧ "A Theory of the Term Structure of Interest Rates under Nonexpected Intertemporal Preferences," Seoul Journal of Business 4 (1998), 55-69.

‧ "금융분야별 학술연구동향: 증권 및 투자," (선우석호 공저), 한국금융학회 (1995년 5월), 151-226.

‧ "새로운 소비베타를 이용한 CCAPM의 실증분석," (이준구, 박래수 공저), 증권‧금융연구 4권 2호 (1995), 105-128.

‧ "Optimal Savings under Nonexpected Preferences," 증권‧금융연구 1권 1호 (1995), 357-377.

‧ "Asset Pricing Implications of a Non-expected Recursive Utility Function," (withJack C. Francis) International Review of Financial Analysis 3 (1994), 19-35.

‧ "Risk Aversion in the Expected and the Nonexpected Utility Functions," (with Yoon Dokko) Review of Quantitative Finance and Accounting 3 (1993), 421-427.

‧ "The Effects of Heterogeneous Beliefs on a Risky Asset's Price and Trading Volume," Seoul Journal of Economics 5 (1992), 113-126.

‧ “The Stock Market Premium, Production, and Relative Risk Aversion: A Generalization," Economics Letters 40 (1992), 193-196.