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
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
Introduces a new method to compute exchange-rate levels implied by a given pricing model to find that a two-factor model of the global equity market and a value factor generates the closest fit to observed market exchange-rate levels. The associated model-implied exchange-rate level forecasts currency returns at short and long horizons, predicts skewness in carry trade portfolios, and systematically uncovers key misvaluation episodes of the Chinese yuan.
Valuation, Hiring, and Creative Selection with Dongryeol Lee and Gregor Schubert
BSE Summer Forum - Financial Shocks, Channels, and Macro Outcomes (scheduled)
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