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Publications of Thummim Cho

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Academic journals

Putting the Price in Asset Pricing

Journal of Finance, 79 (6), 3943-3984

October 2024
Thummim Cho
Christopher Polk

Discussion Papers

Scale or Yield? A Present-Value Identity

We propose a loglinear present-value identity in which investment ("scale"), profitability ("yield"), and discount rates determine a firm’s market-to...

April 2024
DP 905
Thummim Cho
Lukas Kremens
Dongryeol Lee
Christopher Polk

Research highlight

Academic journals

Scale or Yield? A Present-Value Identity

The Review of Financial Studies, 37(3), 950–988

March 2024
Thummim Cho
Lukas Kremens
Dongryeol Lee
Christopher Polk

Discussion Papers

Putting the Price in Asset Pricing

We propose a novel way to estimate a portfolio’s abnormal price, the percentage gap between price and the present value of dividends computed with a...

January 2024
DP 897
Thummim Cho
Christopher Polk

Academic journals

Turning alphas into betas: Arbitrage and endogenous risk

Journal of Financial Economics, 137(2), 550-570

March 2020
Thummim Cho

Discussion Papers

Turning Alphas into Betas: Arbitrage and the Cross-section of Risk

What determines the cross-section of betas with respect to a risk factor? The act of arbitrage plays an important role. If the capital of arbitrageurs...

November 2018
DP 780
Thummim Cho

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Global financial system: old themes, new risks

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Corporate Hierarchy

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Financial instability transition under heterogeneous investm ...

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Private Companies: The Missing Link on The Path to Net Zero

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