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oai:digital.lib.washington.edu:1773/482102026-02-16T02:31:32Zcom_1773_4888col_1773_4902

Gilbert, Thomas Ernst, Rory Joseph 2022-01-26T23:22:33Z 2022-01-26 2021 Ernst_washington_0250E_23768.pdf http://hdl.handle.net/1773/48210 Thesis (Ph.D.)--University of Washington, 2021 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. application/pdf en_US none Finance Business administration Essays on Macroeconomic Announcements and Asset Pricing Thesis Restrict to UW for 2 years -- then make Open Access 2024-01-16T23:22:33Z open.access