Emeritus Faculty
Bldg 58, Room 206
jaehocho@snu.ac.krProfessor Introduction
Jaeho Cho, a professor emeritus, was on the faculty of finance at the College of Business Administration and the Graduate School of Business, Seoul National University (SNU) from 1995 to 2020. He also used to serve as Director of SNU Foundation. Before joining SNU, 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 both MBA and Ph.D. degrees (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.
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 [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, Professor Emeritus, 2020 -
- College of Business Administration, Seoul National University, Faculty of Finance, 1995 - 2020
- 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
[Research Interests]
- Asset Pricing in General Equilibrium
- Portfolio-Consumption Theory
- Derivative Assets
- Information Economics
[Academic Associations]
- Korea Money and Finance Association, Secretary General, 2002 - 2003
- The Korean Finance Association, Secretary General, 2001 - 2002
- The Korean Financial Management Association, Vice President, 2002
- Korean Association of Futures and Options, Secretary General, 1999 - 2000
- Korean Journal of Futures and Options, Editorial Board Member, 2002 - 2003
- The Korean Journal of Finance, Editorial Board Member, 2002 - 2003
- Korean Journal of Money and Finance, Editorial Board Member, 2001 - 2002
- The Korean Journal of Financial Management, Editorial Board Member, 1997 - 1998
[Non-Academic Experiences]
- Chartered Financial Analyst (CFA: Charter Number 19277), 1994 - present
- Advisory Committee Member, Financial Supervisory Board (FSS), 2019 R11; 2020
- Director, Kyung Hee Foundation, 2007 - 2020
- Director, KB Financial Group, 2014 - 2015
- Director, SK Telecom, 2008 - 2014
- Senator, SNU Senate, 2011 - 2012
- Risk Management Committee Member, 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 Member, Investment Analysis Group, 1997 - 2004
- Securities Investigation Committee Member, FSS, 1996 - 2001
- Research Evaluation Committee, Korea Research Foundation, 1998 - 2001
- Project Analyst, Korea Development Finance Corporation (KDFC), 1977 - 1981
[Awards]
- Honorary Award, Alumni Association of Advance Management Program (AMP), SNU, 2019
- 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, Baruch College, CUNY, 1989 & 1990
- The Wharton School, University of Pennsylvania, Ph.D. in Finance, 1989 [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, Professor Emeritus, 2020 -
- College of Business Administration, Seoul National University, Faculty of Finance, 1995 - 2020
- 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
[Research Interests]
- Asset Pricing in General Equilibrium
- Portfolio-Consumption Theory
- Derivative Assets
- Information Economics
[Academic Associations]
- Korea Money and Finance Association, Secretary General, 2002 - 2003
- The Korean Finance Association, Secretary General, 2001 - 2002
- The Korean Financial Management Association, Vice President, 2002
- Korean Association of Futures and Options, Secretary General, 1999 - 2000
- Korean Journal of Futures and Options, Editorial Board Member, 2002 - 2003
- The Korean Journal of Finance, Editorial Board Member, 2002 - 2003
- Korean Journal of Money and Finance, Editorial Board Member, 2001 - 2002
- The Korean Journal of Financial Management, Editorial Board Member, 1997 - 1998
[Non-Academic Experiences]
- Chartered Financial Analyst (CFA: Charter Number 19277), 1994 - present
- Advisory Committee Member, Financial Supervisory Board (FSS), 2019 R11; 2020
- Director, Kyung Hee Foundation, 2007 - 2020
- Director, KB Financial Group, 2014 - 2015
- Director, SK Telecom, 2008 - 2014
- Senator, SNU Senate, 2011 - 2012
- Risk Management Committee Member, 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 Member, Investment Analysis Group, 1997 - 2004
- Securities Investigation Committee Member, FSS, 1996 - 2001
- Research Evaluation Committee, Korea Research Foundation, 1998 - 2001
- Project Analyst, Korea Development Finance Corporation (KDFC), 1977 - 1981
[Awards]
- Honorary Award, Alumni Association of Advance Management Program (AMP), SNU, 2019
- 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, Baruch College, CUNY, 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]
"Utility Functions, Consumption, and Asset Pricing,” The Korean Business Journal 54 (2020), 101-132.
"A Re-examination of the Equity Premium Puzzle and the Risk-Free Rate Puzzle in Korea,” (with Min-Jik Kim) Asian Review of Financial Research 33-1 (2020), 97-144.
"An Analysis of the Asymmetric Volatility under Asymmetric Information and Ambiguity,” (with Min-Jik Kim) Journal of Derivatives and Quantitative Studies 28-1 (2020), 1-34.
"Heterogeneous Expectations, Asset Prices, and Trading Volume under a Non-expected Utility Function with CARA,” Seoul Journal of Business 25-2 (2019), 67-91.
"A Re-examination of the Puzzle on Asset Returns: with Focus on the Role of Utility Functions,” (with Kyoosung Jo) The Korean Business Journal 52 (2016), 75-106.
"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.
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]
"Utility Functions, Consumption, and Asset Pricing,” The Korean Business Journal 54 (2020), 101-132.
"A Re-examination of the Equity Premium Puzzle and the Risk-Free Rate Puzzle in Korea,” (with Min-Jik Kim) Asian Review of Financial Research 33-1 (2020), 97-144.
"An Analysis of the Asymmetric Volatility under Asymmetric Information and Ambiguity,” (with Min-Jik Kim) Journal of Derivatives and Quantitative Studies 28-1 (2020), 1-34.
"Heterogeneous Expectations, Asset Prices, and Trading Volume under a Non-expected Utility Function with CARA,” Seoul Journal of Business 25-2 (2019), 67-91.
"A Re-examination of the Puzzle on Asset Returns: with Focus on the Role of Utility Functions,” (with Kyoosung Jo) The Korean Business Journal 52 (2016), 75-106.
"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.
