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Events

Home Events
Scale or Yield? A Present-Value Identity
9Jun
Finance

Scale or Yield? A Present-Value Identity

9 Jun 2021 | 9:30 a.m. – 11:00 a.m.
Zoom
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Speaker:

Dr. Thummim Cho
Assistant Professor of Finance
London School of Economics

 

Abstract:

We propose a loglinear present-value identity in which investment (“scale”), profitability (“yield”), and discount rates determine a firm’s market-to-book ratio. Our identity reconciles existing influential market-to-book decompositions and facilitates novel insights from three empirical applications: (i) Both investment and profitability are important contributors to the value spread and stock return news variance. (ii) Asset growth predicts the cross-section of returns primarily because it predicts a long-run decline in future profitability. (iii) The investment spread significantly improves the ability to forecast time-series variation in the value premium and helps justify the poor performance of value in recent years.

 

 

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Faculty Level | Event
214th Congregation (Summer Congregation 2025)
Grand Hall, Centennial Campus, HKU
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
18Jun
Economics | Seminar
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
18 June 2025 | 2:15 PM - 3:30 PM
KK 910 K. K. Leung Building, HKU
Prof. Katsumi Shimotsu
About Speaker
Dr. Thummim Cho

Assistant Professor of Finance, London School of Economics

Scale or Yield? A Present-Value Identity
9 Jun 20219:30 a.m. – 11:00 a.m.
Zoom
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