Essays on Macroeconomic Announcements and Asset Pricing

Abstract

The first chapter of my thesis explores the correlation of asset pricing factor sensitivitiesbetween firms with important economic links. I find that firms’ factor sensitivities (betas) are significantly correlated with their customers’ respective betas. I further document this effect holds in the setting of firms in strategic alliances. The second chapter of my thesis is co-authored with Thomas Gilbert and Christopher Hrdlicka. It highlights a puzzle that one can earn more than 100% of the equity premium by trading on select macroeconomic announcement days identified by prior literature. We use day-of-the-month fixed effects to control for announcement clustering and find that macroeconomic announcements as a whole are responsible for about half of the equity premium. The third chapter of my thesis investigates the role of competition in the risk imposed on firms by organization capital. I find that firms in a spread portfolio of high-minus-low organization capital are significantly riskier only in the most competitive industries.