조둠밈 교수 (Thummim@korea.ac.kr)
고려대학교 경영대학 부교수 (재무금융 분야)
연구 분야:
금융자산 가격 결정, 장기투자, 거시경제
학위:
하버드대학교 경제학 박사
하버드대학교 경제학 석사
코넬대학교 학사
경력:
영국 런던정경대학교 금융학 조교수
미국 페퍼다인대학교 경제학 부교수
기타 경력:
육군사관학교 영어과 강사 (육군 중위 예편)
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.
Scale or Yield? A Present-Value Identity (Review of Financial Studies, forthcoming) with Lukas Kremens, Dongryeol Lee, and Christopher Polk
Separates firm-level cash-flow news into investment ("scale") vs. profitability ("yield") components to draw out implications for 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
Working Papers
The Present Value of Future Market Power (Nov 2023) with Marco Grotteria, Lukas Kremens, and Howard Kung
A new log-linear identity linking a company's market value to expected future markups, output growth, discount rates, and investments in a present-value framework. Five new empirical facts that can guide macro-finance models:
Expected markups account for one-third of the rise in aggregate firm values of U.S. public firms since 1980.
The rise in aggregate expected markups is driven by a reallocation of market share towards high-expected-markup firms. Mergers have accelerated this trend with expected (but not realized) markups rising post merger.
Expected markups are closely tied to fixed costs and investments, particularly in intangibles.
There is a negative time-series relationship between expected markups and discount rates, but
there is a positive cross-sectional link to risk premia after accounting for other risk factors.
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 reveal the factor model that the firm managers use.
AFA 2022
Work in Progress
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