CHAE, JOON

Professor of Investments, Market Microstructure


Professor Introduction

Joon Chae is Professor of Finance at Seoul National University. He has a BA Degree in economics from Seoul National University, MS Degree in statistics from Stanford University and received his PhD in finance from Massachusetts Institute of Technology, Sloan School of Management. Prior to joining Seoul National University, he was an assistant professor of School of Management, State University of New York at Buffalo.
His research focuses on empirical asset pricing, capital market, market microstructure, financial econometrics and corporate finance. His research has appeared in top-tier journals such as the Journal of Finance, the Journal of Banking and Finance, the Journal of Futures Markets, and other journals. In 2008 he published a book, “The Easiest Story about Finance”.
He won the Best Paper Award from the Joint Conference of Finance in Korea. He also won the Best Teaching Award from GSB Alumni Association at Seoul National University.
He currently serves as the director of Investment Research and Education Center at Seoul National University. He served on the Hedge Fund Task Force Team of the Ministry of Finance and Economy and Recommendation Committee, Korean Investment Corporation. He served as a director of the Global MBA Program, Samsung Securities Global RM Program and the Advanced Banking Program at Seoul National University. He served on a special committee for the new launch of the MS degree in finance and served on the recruiting committee and course waiver decision committee at University at Buffalo Р SUNY.

Education & Experiences

[EDUCATION]

  1. Massachusetts Institute of Technology, Sloan School of Management
    Ph.D., Financial Economics, June 2003
    Thesis: Essays in Financial Economics
    Advisor: Professor Andrew W. Lo

  2. Stanford University, Department of Statistics
    M.S., Statistics, June 1997

  3. Seoul National University, Graduate School of Business
    MBA, February 1995
    Thesis: Credit Rationing in the Korean Financial Market

  4. Seoul National University, College of Social Science
    Bachelor in Economics, February 1993
    Thesis: Financial Deregulation Policy in Korea


[RESEARCH PRESENTATION]

  1. FMA 2017, Boston, USA, October, 2017
  2. FMA 2016, Las Vegas, USA, October 2016
  3. APAD 2016, August, 2016
  4. Yonsei University, April 2016
  5. Auckland Finance Meeting, December 2015
  6. UNIST, January 2015
  7. FMA 2014, Nashville, USA, October 2014
  8. KAIST, November 2012
  9. FMA 2011, Denver, USA, October 2011
  10. FMA 2010, New York, USA, October 2010
  11. FMA 2009, Reno, USA, October 2009
  12. Multinational Finance Society 2009, Greece, July 2009
  13. FMA 2008, Dallas, USA, October 2008
  14. NFA-Asian FMA, 2008, Japan, July 2008
  15. GLOFIN, 2008, China, May 2008
  16. CICF 2007, Chengdu, China, July 2007
  17. IEFA 2007, Taipei, Taiwan, May 2007
  18. KAIST, May 2007
  19. SKKU, May 2007
  20. Korea University, May 2007
  21. Annual Conference of Korean Securities Association, Seoul, February 2007
  22. The First International Conference on Asia-Pacific Financial Markets, December 2006
  23. FMA, Salt Lake City, October 2006
  24. Hallym University, May 2006
  25. Korea University, June 2006
  26. Center for Financial Studies, Frankfurt, Germany, June 2004
  27. Econometric Society North America Summer Meeting, Providence, June 2004
  28. Yonsei University, Seoul, Korea, June 2004
  29. POSTECH, Pohang, Korea, June 2004
  30. Econometric Society Far East Summer Meeting, Seoul, June 2004
  31. KDI School, Seoul, Korea, June 2004
  32. Penn State University, November, 2003
  33. Mid-West Finance Association, St. Louis, April, 2003
  34. University at Buffalo-SUNY, Buffalo, January, 2003
  35. INSEAD, Fontainebleau, France, January, 2003
  36. Morgan Stanley, New York, February, 2003
  37. National University of Singapore, Singapore, January, 2003
  38. University of Hawaii, Honolulu, January, 2003
  39. Batterymarch Seminar, MIT, Cambridge, October, 2002


[GRANTS/FELLOWSHIPS/ HONORS]

  1. Best Paper Award, Joint Conference of Finance in Korea, May 2011
  2. Best Teaching Award, GSB Alumni Association ? Seoul National University, 2008
  3. Small Amount Grant, University at Buffalo - SUNY, 2003
  4. Derbes Fellowship, Massachusetts Institute of Technology, 1998-2003
  5. Honor Student Scholarship, Seoul National University, 1992-1994


[UNIVERSITY SERVICES]

  1. Director, Executive MBA Program, SNU 2015 - Present
  2. Director, CBA Library and Computer Cluster, 2013 - 2015
  3. Director, Investment Research and Education Center, SNU, 2009 - Present
  4. Director, Global MBA Program, SNU, 2010 - 2011
  5. Director, Samsung Securities Global RM Program, SNU, 2009 - 2010
  6. Co-director, Advanced Banking Program, SNU, 2009 - 2010
  7. Deputy Director, Global Investment Banking Academy, SNU, 2007 - Present
  8. GSB International Coordination Committee, SNU, 2006 - Present
  9. DIK-NYU Program Committee, SNU, 2006 - Present
  10. Ph.D. student 2nd year paper committee, University at Buffalo ? SUNY, 2004 - 2005
  11. Special committee for newly launching MS in finance, University at Buffalo ? SUNY, 2004
  12. Recruiting committee, University at Buffalo ? SUNY, 2003 - 2004
  13. Course waiver decision committee, University at Buffalo ? SUNY, 2003 - 2005


[ACADEMIC PROFESSIONAL ACTIVITIES]

  1. Vice President, Korean Derivative Association, 2016 – Present
  2. Board of Directors, Korean Securities Association, 2009 - Present
  3. Board of Directors, Korean Financial Management Association, 2010 - Present
  4. Board of Directors, Korean Association of Financial Engineering, 2011 - Present
  5. Board of Directors, Korean Finance Association, 2009-2010
  6. Board of Directors, Korea Derivatives Association, 2011 - Present
  7. Editorial Committee, Asia-Pacific Journal of Financial Studies, 2006 - Present
  8. Editorial Committee, Korean Financial Management Association, 2007 - Present
  9. Editorial Committee, Korea Derivatives Association, 2008-2011


[OUTSIDE COMMITTEE ACTIVITIES]

  1. Director, Daelim Suam Scholarship Foundation, 2010 - Present
  2. Outside Director, Kiwoom Asset Management, 2014 – Present
  3. National Pension Services Asset Management Evaluation Committee, Korea Ministry of Strategy and Finance, 2017 – Present
  4. Asset Management Committee, Korean Broadcasting & Communications Development Fund, 2011 - Present
  5. Asset Management Committee, Government Employee Pension Services, 2013 – Present
  6. Asset Management Committee, National Housing Fund, 2015 – Present
  7. Asset Management Committee, Employment Insurance Fund, 2015 – Present
  8. Asset Management Committee, Industrial Accident Insurance Fund, 2015 – Present
  9. Assent Management Committee, Government Asset Management Fund, 2014 – Present
  10. Asset Management Committee, Korea Student Aid Foundation, 2014 – Present
  11. Risk Management Committee, Korean Teachers’ Credit Union, 2008 - Present
  12. Operating Committee for Investment Pool, Korea Ministry of Strategy and Finance, 2011 – 2014
  13. Investment Review Committee, Korea Construction Workers Mutual Aid Association Fund, 2012 - Present
  14. Investment Deliberative Committee, Korea Water Resources Corporation, 2010 – Present
  15. Outside Director, AVISTA INC., 2011 – 2016
  16. The Fund Management Committee, Korea Ministry of Strategy and Finance, 2010-2011
  17. Performance Evaluation Committee for National Pension Service, 2009
  18. Management Committee, Korea Gas Corporation, 2008
  19. Hedge Fund Task Force Team by Ministry of Finance and Economy, 2007
  20. Recommendation Committee, Korean Investment Corporation, 2007


[CONSULTING]

  1. Korea Ministry of Strategy and Finance , 2016, Research on Selection Process for Out-Sourced CIO of Korea Investment Pool
  2. Korea Teacher’s Pension Fund, 2016, Research on Asset Management against Abnormal Risk
  3. Korea Exchange, 2016, Research on Management of Stock and Derivative Management
  4. Korea Post, 2015, Research on Asset Management of Financial Assets in Korea Post
  5. Korea Financial Investment Association, 2015, Research on Asset Management of Securities Companies
  6. KVIC, 2015, Research on Long-term Development Plan of Korea Venture Fund of Funds
  7. Shin&Kim, 2014, Research on the Contract of Derivatives between Hyundai Elevator Co., and Hyundai Shipping Co.
  8. Korea Ministry of Land, Infrastructure, and Transport, 2014, Research on the Methods to Select Administration Agency for the National Housing Fund
  9. LH Corporation, 2014, Suggestion to Improve Capital Structure for Sustainability of LH Corporation
  10. National Pension Research Institute, 2013, Research on Asset Class for Market Structure
  11. Korea Financial Investment Association, 2013, Research on the Principles and Suggestions to Improve Investor Protection in Financial Market
  12. KOSCOM, 2012, The Required Technological Competencies for KOSCOM to cope with Capital Market change
  13. Korea Ministry of Land, Infrastructure, and Transport, 2012, Research on the methods to improve the management of the National Housing Fund
  14. Korea Ministry of Employment and Labor, 2012, Research on the methods to improve the management of the Employment Insurance and Industrial Accident Compensation Insurance Fund
  15. Ottogi, 2009, Development of performance evaluation system for branches and retail stores
  16. KNR, 2009, Education system of executives
  17. Ottogi, 2006, How to Utilize Inventory data
  18. KT, 2006, Decision on rate of return


Publications

[REFEREED PUBLICATION]

  1. Distribution Uncertainty and Expected Stock Returns Joon Chae and Eun Jung Lee Financial Research Letters (SSCI), forthcoming
  2. Family Ownership and Risk Taking Eun Jung Lee, Joon Chae, and Yu Kyung Lee Financial Research Letters (SSCI), forthcoming
  3. An Empirical Study on the Relation between Absolute Firm-Specific Return and Future Stock Return Ryumi Kim and Joon Chae Korean Journal of Financial Studies, Volume 44 No. 5, December 2015, Pages 1031-1063
  4. Controlling Shareholders and the Choice of Bank Loans, Yu Kyung Lee, Eun Jung Lee, Joon Chae (Corresponding Author), Asian Review of Financial Research (Korean), Volume 27, No. 3, August 2014, Pages 529-565
  5. Risk and Reward in Venture Capital Funds, Joon Chae, Jee-Hyun Kim, Hyung-Chul Ku, Seoul Journal of Business, Volume 20, No. 1, June 2014, Pages 91-137
  6. A Reexamination of Diversification Premiums: An Information Asymmetry Perspective, Joon Chae, Jin-young Jung, and Cheol-Won Yang, Asia-Pacific Journal of Financial Studies (SSCI), Volume 43, April 2014, Pages 223-248
  7. Takeover vulnerability and the behavior of short-term stock returns, Joon Chae, Dong Wook Lee and Shu-Feng Wang, Journal of Corporate Finance (SSCI), Volume 22, September 2013, Pages 66-82
  8. Changes in Operational Efficiency and Firm Performance: A Frontier Analysis Approach, Bok Baik, Joon Chae, Sunhwa Choi and David B. Farber, Contemporary Accounting Research (SSCI), Volume 30, Issue 3, Fall 2013 (September), Pages 1645-1668
  9. Commonality in individuals' trading: A systematic path between behavioral bias and expected returns, Joon Chae and Cheol-Won Yang, Pacific-Basin Finance Journal (SSCI), Volume 21, Issue 1, January 2013, Pages 1008-1023
  10. Who Makes Markets? Liquidity Providers versus Algorithmic Traders, Joon Chae, Jaeuk Khil and Eun Jung Lee, Journal of Futures Markets (SSCI), Volume 33, Issue 5, pages 397?420, May 2013
  11. What Drives Firms’ Financial Decisions?: Evidence from the Field, Joon Chae, Byung Joo Ahn and Jin-young Jung, Korean Journal of Financial Studies (Korean), Volume 40, No. 1, 2011
  12. An analysis of split orders in an index options market, Joon Chae and Eun Jung Lee, Applied Economics Letters (SSCI), March, 2011
  13. How corporate governance affects payout policy under agency problems and external financing constraints, Joon Chae, Sungmin Kim, and Eun Jung Lee, Journal of Banking and Finance (SSCI), November, 2009
  14. Determinants of Trading Profits: The Liquidity Provision Decision, Joon Chae and Albert Wang, Emerging Markets Finance and Trades (SSCI), November, 2009
  15. Negative Momentum Profit in Korea and its sources, Joon Chae and Yunsung Eom, Asia-Pacific Journal of Financial Studies (SSCI), April, 2009
  16. Liquidity Provision by Day-Traders, Joon Chae and Eun Jung Lee, Korean Journal of Finance (Korean), 2008, Volume 21, No. 2, 115-146
  17. Which Idiosyncratic Factors Can Explain the Pricing Errors from Asset Pricing Models in the Korean Stock Market, Joon Chae and Cheolwon Yang, Asia-Pacific Journal of Financial Studies (SSCI), 2008, Volume 37
  18. Trading Volume, Information Asymmetry, and Timing Information, Joon Chae, Journal of Finance (SSCI), Volume 60:1, February, 2005
  19. Escape from the Market: Discretionary Liquidity Trading, Joon Chae, Seoul Journal of Business, Volume 10, Number 1, 2004


[BOOKS]

  1. A Story about Finance (Korean), Tryler and Company, 2008, ISBN 978-89-959274-2-7


[OTHER PUBLICATION]

  1. Why do we have to invest in stocks? Weekly report about Finance and Economy, Woori Institute of Banking, December, 2013
  2. Principles and suggestions to guide financial investors Financial Investment, Korean Financial Investment Association, December, 2013
  3. Empathy in finance, Seoul Business Letter, October, 2010
  4. Are you investing in stock?, Seoul Business Letter, October, 2009
  5. Liquidity, Seoul Business Letter, October, 2008
  6. Behavioral finance, Seoul Business Letter, November, 2007
  7. Cost of capital in a regulated industry, Seoul Business Letter, Volume 97, January, 2007


[CASES]

  1. The Commodity Futures Market and Investment Strategies, Joint with Byungha Kang, Jongik Ryu, Sangkyun Park, Namjae Kim, Heechoen Jang, Seoul National University, 2010
  2. Inside the Center of the Fund Craze: Insight Fund, Joint with Heechoen Jang Byungha Kang Jongik Ryu Sangkyun Park Namjae Kim, Seoul National University, 2010
  3. Did You Know You Can Invest in Real Estate at Your Brokerage House?, Joint with Hyunjoo Pai Heechoen Jang Jongik Ryu Sangkyun Park Namjae Kim Seoul National University, 2009
  4. How to set up a fund of hedge fund?, Joint with Kyunghoon Bae, Youmin Im, Kyunghan Kim, Sungjoon Park, Hongkee Seol, Seoul National University, 2009
  5. Diamond Fund,Joint with Jay M. Chung and Raesoo Park Seoul National University, 2007


[WORKING PAPERS]

  1. Difference of Distribution and Cross-section of Expected Stock Returns, Joint with Wonse Kim and Eunjung Lee