Thummim Cho
thummim@korea.ac.kr / Curriculum Vitae
Current Position: Associate Professor of Finance, Korea University
Education: PhD in Economics, Harvard University (2017); BA, Cornell University (2007)
Research Interests: Asset Pricing, Macro-Finance
Working Papers
Anchored to Prices Past: Managerial Beliefs about Stock Value with Amirabas Salarkia (new paper!)
Equity Valuation Without DCF with Christopher Polk and Robert Rogers
A novel framework for equity valuation that corrects the price with "discounted alphas" rather than discounting long-duration cash flows, yielding more accurate estimates of fundamental value. Applications to analyst expectations, private equity holdings, and price-level efficiency.
NBER Summer Institute, SFS Cavalcade, AFA, Red Rock Finance, FIRS
What Is a Currency Worth? with Ric Colacito, Lukas Kremens, and Mirela Sandulescu
Proposes a new method to construct model-implied exchange rates to study currency pricing in levels rather than currency returns. Our approach allows to compare currency misvaluations relative to different pricing models and decompose exchange rate variance into fundamentals, risk premia, and model-implied misvaluation. Assessing exchange rate levels for potential manipulation depends crucially on the assumed currency pricing model: the Chinese yuan is undervalued according to a naive risk-neutral model but can be rationalized by exposures to dollar, carry, and value factors.
International Finance Society Conference, UNSW Asset Pricing Workshop (scheduled)
Valuation, Hiring, and Creative Selection with Dongryeol Lee and Gregor Schubert
BSE Summer Forum - Financial Shocks, Channels, and Macro Outcomes
Which Asset Pricing Model Do Firms Use? A Revealed Preference Approach with Amir Salarkia
Firm managers' net issuance decisions point to the CAPM as the factor model used by firm decision makers.
SFS Cavalcade, WFA, AFA
Publications
The Present Value of Future Market Power (Review of Financial Studies, forthcoming) with Marco Grotteria, Lukas Kremens, and Howard Kung
Expected future market power is a key component of firm values according to a new present-value identity. Implications for recent macro-finance models.
Putting the Price in Asset Pricing (Journal of Finance, 2024) with Christopher Polk
A new framework for studying the cross-section of asset prices rather than average short-horizon returns.
Scale or Yield? A Present-Value Identity (Review of Financial Studies, 2024) 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.
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.
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
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