Thummim Cho
Thummim@korea.ac.kr
Associate Professor of Finance, Korea University, 2024- (in Korea March/April; US for the rest of the spring/summer)
Assistant Professor of Finance, London School of Economics, 2017-2022
Passed the interim review in 2022
Associate Professor of Economics, Pepperdine University, 2022-2023
Research Interests: asset pricing and macro-finance
Education: PhD in Economics, Harvard University (2017); BA, Cornell University (2007)
Working Papers
The Present Value of Future Market Power (Nov 2023) with Marco Grotteria, Lukas Kremens, and Howard Kung
A loglinear present-value identity links a company's market value to expected future markups, output growth, investments, and discount rates. We use new empirical facts about these quantities to revisit the recent macro-finance models.
Upcoming presentations: ITAM Finance Conference 2024, Young Scholars Finance Consortium 2024, SFS Cavalcade 2024, Western Finance Association 2024
Publications
Putting the Price in Asset Pricing (Journal of Finance, conditionally accepted) with Christopher Polk
A new framework for studying the cross-section of asset prices rather than average short-horizon returns.
Previously circulated as "Asset Pricing with Price Levels"
Scale or Yield? A Present-Value Identity (Review of Financial Studies, forthcoming) with Lukas Kremens, Dongryeol Lee, and Christopher Polk
Decomposing firm-level cash-flow news into investment ("scale") vs. profitability ("yield") components generates empirical findings that discipline production-based asset pricing theories.
Best Paper Award, Melbourne-FIRN Asset Pricing Meeting 2021
Turning Alphas into Betas: Arbitrage and Endogenous Risk (Journal of Financial Economics, 2020)
Arbitrage turns equity anomaly "alphas" (abnormal risk-adjusted returns) into endogenous "betas" with respect to intermediary asset pricing factors.
Best Paper Award, UW Summer Finance Conference 2018
Updates Coming / Work in Progress
Heat as a Sedative: A Natural Experiment on Noise Trading (Updated draft coming)
AFA 2017, European Winter Finance 2019, Young Scholars Finance 2019, Midwest Finance Association 2020
Which Asset Pricing Model Do Firms Use? A Revealed Preference Approach (Jul 2022) with Amir Salarkia
Firm managers' net issuance decisions point to the CAPM as the factor model used by firm decision makers.
AFA 2022
Asset Pricing under Cross-Border Investment Frictions (2019) with Argyris Tsiaras
A tractable multi-country model of international equity markets provides a unified explanation for the cross-sections of comovements, risk premia, and home biases of different equity markets.
AFA 2020