Seung  M. Yae


 

PhD and MBA Candidate, Finance and Econometrics
Booth School of Business
University of Chicago


Research Interests
Asset Pricing: Learning and Uncertainty, Return Predictability, Extreme Events, Stochastic Volatility

Financial Econometrics, Computational Economics, Information Economics

Curriculum Vitae

Contact Information
Booth School of Business
5807 South Woodlawn Avenue
Chicago, IL 60637

E-mail: syae@chicagobooth.edu 
Phone: +1 (773) 326-5901

 


   

Job Market Paper: Variable Information Quality, Ambiguity, and Stock Returns

 

Publications

  • Bayesian Analysis of Stochastic Beta Models in Korean Stock Market, with Bong-Chan Kho, 2005, The Korean Journal of Financial Management, vol 22. *2nd place winner of Korean Financial Management Association Award for the best paper in 2005
  • Comments to Particle Markov chain Monte Carlo methods, with Michael Johannes and Nicholas Polson, 2010, Journal of Royal Statistical Society B, vol. 72, no. 3, pp. 324-326.

 

Works in Progress

  • Foresight, Hindsight, and Learning with Ambiguity
  • Extracting, Forecasting, and Testing of Learning-related Factors
  • Correlation Risk Premia and Derivative Prices
  • Return Prediction with Many IVs (instrumental variables) and IPs (imperfect predictors)

 

Working Papers