CHO, JAEHO

Professor of Investments, Finance Theory


Professor Introduction

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) since 1988. 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.

Education & Experiences

[Education]
• The Wharton School, University of Pennsylvania, Ph.D. in Finance, 1989
Dissertation: Three Essays on Asset Pricing Theory
Supervisor: Andrew B. Abel
• The Wharton School, University of Pennsylvania, M.A , 1988
M.B.A. , 1983
• College of Business Administration, Seoul National University, B.A., 1978

[Academic Experiences]
• College of Business Administration, Seoul National University, Faculty of Finance, 1995 – Present
• University of Tokyo, Graduate School of Economics, Visiting Professor, 2007
• The Wharton School, University of Pennsylvania, Visiting Scholar, 2006
• Baruch College, The City University of New York, Faculty of Finance, 1988 – 1994
• The Wharton School, University of Pennsylvania, Philadelphia, PA Teaching Assistant, 1984 – 1987

[Academic Associations]
• Vice President of The Korean Financial Management Association , 2002
• Secretary General: Korea Money and Finance Association , 2002 – 2003
The Korean Finance Association, 2001 – 2002
Korean Association of Futures and Options, 1999 – 2000
• Editorial Board:, Korean Journal of Futures and Options , 2002 –2003
The Korean Journal of Finance , 2002 – 2003
Korean Journal of Money and Finance, 2001 – 2002
The Korean Journal of Financial Management, 1997 – 2000


[Non-Academic Experiences]
• Chartered Financial Analyst (CFA: Charter Number 19277), 1994 – present
• Director, Kyung Hee Foundation, 2007 – present
• Director, KB Financial Group, 2014 – 2015
• Director, SK Telecom, 2008 – 2014
• Senator, SNU Senate , 2011 – 2012
• Member, Risk Management Committee, Korea Asset Management Corporation(KAMCO), 2011 – 2012
• Chair, Sub-committee for Capital Market Development, Financial Services Commission (FSC), 2008, 2011
• Director, The Institute of Finance and Banking, SNU, 2009 – 2011
• Director, Korea Society of Chartered Financial Analysts (KSCFA), 2000 – 2010
• Deputy Director, SNU Institute of Research in Finance and Economics , 2008 – 2010
• Chair, Committee for Capital Market Efficiency, FSC , 2008 – 2010
• Managing Director, Seoul National University Foundation, 2005 – 2006
• Executive Committee, Investment Analysis Group, 1997 – 2004
• Securities Investigation Committee, Financial Supervisory Service, 1996 – 2001
• Research Evaluation Committee, Korea Research Foundation, 1998 – 2001
• Project Analyst, Korea Development Finance Corporation (KDFC), 1977 – 1981

[Research Interests]
• Asset Pricing in General Equilibrium
• Portfolio-Consumption Theory
• Derivative Assets
• Information Economics

[Awards]
• Teaching Award, College of Business Administration, SNU, 2011
• CFA of the Year Award, Korea Society of Chartered Financial Analysts, 2008
• Teacher of the Year Award, Alumni Association of Graduate School of Business Administration, SNU, 2003
• Paper of the Year Award, Korea Money and Finance Association, 2002
• Excellent Paper Award, The Korean Finance Association, 2002
• PSC-CUNY Research Award 20 & 21, Baruch College, 1989 & 1990

Publications

[Books]
• Modern Corporate Finance (with Jeong-Sik Park and Jong-Won Park), 8th edition, Dasan Publishing Company, 2015, Seoul, Korea.

• Futures, Options, and Swaps (with Jong-Won Park and Kyu-Sung Jo), Dasan Publishing Company, 2009, Seoul, Korea.

• Problems in Corporate Finance (with Jeong-Sik Park and Jong-Won Park), Dasan Publishing Company, 2003, Seoul, Korea.

[Articles]
• "Cyclical Patterns of Debt and Equity Financing in Korean Firms,” (with DongweonLee), Asian Review of Financial Research, 29 (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.

• "A Review on Discrete Time Term Structure Models of Interest Rates,” (with Jeongmin Park), Journal of Money & Finance 26-3 (2012), 263-308.

• "On the Efficacy of Model Specifications in the Term Structure of Interest Rates,” (with Jeongmin Park and Taehyung Kim), Korean Journal of Financial Studies 41-2 (2012), 263-308.

• "Forecasting Performances of Structural Default Probability Models with a New Iterative Estimation Method,” (with Dae-Il Kang), Asian Review of Financial Research 24-4 (2011), 1021-1067.

• "An Analysis of Default Portfolios using the Fist Passage Time Stochastic Process,” (with Dae-Il Kang), The Korean Journal of Financial Management 28-2 (2011), 149-187.

• "Time-Varying Idiosyncratic Volatilities and Their Determinants in Korean Stock Market,” (with Jong-hyun Lee), The Korean Business Journal 44 (2010), 249-287.

• "A Performance Evaluation of Stock Mutual Funds using the Stochastic Discount Factor and the Artificial Fund,” (with Bong Jun Kim), The Korean Journal of Financial Management 27-3 (2010), 183-228.

• "An Evaluation of Asset Pricing Models using the Minimum Distance Test,” (with Bong Jun Kim), Korean Journal of Financial Studies 39-2,4 (2010), 267-305.

• "The Effects of High-volume Stock Trades on their Returns and Order Imbalances,” (with Won Seok Kang), The Korean Business Journal 40-3,4 (2006), 33-59.

• "Illiquidity, Transaction Costs, and Abnormal Returns on Contrarian Strategies using Short-term Reversals in the Korean Stock Market,” (with Ho-Joong Yun), The Korean Business Journal 40-3,4 (2006), 61-88.

• "On the Connection between the Expectations Hypothesis of the Term Structure Theory of Interest Rates and Risk Neutrality,” The Journal of Korean Econometric Society 17-1 (2006), 23-38.

• "An Analysis of KOSPI 200 Futures and Options Markets,” The Korean Business Journal 38-4 (2004), 49-98.

• "An Analysis of Option Strategies using Volatility Cone,” (with Eun Jung Yang) The Journal of Finance and Banking 2-1 (2003), 85-109.

• "An Analysis of Investors’ Responses to Security Analysts’ Recommendations and Their Performances,” (with Sun Heum Yoon) The Journal of Finance and Banking 1-1 (2002), 97-114.

• "Intertemporal Substitution, Risk Aversion, and Asset Pricing under Heterogeneous Beliefs,” Korean Journal of Money & Finance 6-2 (2001), 1-20.

• "The Equity Premium Puzzle: The Case in Korea,” (with Yoon Dokko and Jong-Won Park) The Korean Journal of Finance 14-1 (2001), 1-22.

• "Term Premia under a Non-expected Utility Function: A Portfolio Approach,” Korean Journal of Money & Finance 5-2 (2000), 177-187.

• "A Re-examination of the Mean-Variance Portfolio Theory,” The Korean Business Journal 34-4 (2000), 131-145.

• "Arbitrage and Finance Theory,” The Korean Business Journal 33-2 (1999), 174-194.

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

• "A Review of Contemporary Finance Research: Investments & Securities,” (with Sukho Sonu) Korea Money and Finance Association (May 1995), 151-226.

• "An Empirical Analysis of the Consumption CAPM using a New Consumption Beta,” (with Joon-Ku Lee and Rae-Soo Park) The Journal of Finance and Banking 4-2 (1995), 105-128.

• "Optimal Savings under Nonexpected Preferences,” The Journal of Finance and Banking 1-1 (1995), 357-377.

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

• "Risk Aversion in the Expected and the Nonexpected Utility Function,” (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.