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

Phone: +1 (773) 326-5901



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



  • 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