{"id":{"repo_id":"washington","oai_identifier":"oai:digital.lib.washington.edu:1773/48210"},"canonical_url":"https://search.dev.ndltd.org/etd/washington/oai:digital.lib.washington.edu:1773/48210","repository":{"repo_id":"washington","name":"University of Washington","base_url":"https://digital.lib.washington.edu/server/oai/request"},"display":{"title":"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.","abstract_html":"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.","abstract_has_math":false,"creators":["Ernst, Rory Joseph"],"institution":null,"degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Gilbert, Thomas"],"committee_chairs":[],"committee_members":[],"year":2022,"date_issued":"2022-01-26","date_published":"2022-01-26","updated_at":"2026-07-24T05:58:27Z","subjects":["Finance"],"languages":["en_US"],"rights":["none"],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/1773/48210","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Gilbert, Thomas"]},{"key":"dc:creator","label":"Author","values":["Ernst, Rory Joseph"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2022-01-26T23:22:33Z"]},{"key":"dc:date.issued","label":"Date","values":["2022-01-26"]},{"key":"dc:type","label":"Dc Type","values":["Thesis"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Finance"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["en_US"]},{"key":"dc:rights","label":"Dc Rights","values":["none"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.other","label":"Dc Identifier Other","values":["Ernst_washington_0250E_23768.pdf"]},{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/1773/48210"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Thesis (Ph.D.)--University of Washington, 2021"]},{"key":"dc:description.abstract","label":"Abstract","values":["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."]},{"key":"dc:format.mimetype","label":"Dc Format Mimetype","values":["application/pdf"]},{"key":"dc:title","label":"Title","values":["Essays on Macroeconomic Announcements and Asset Pricing"]}]}],"canonical_facts":{"dc:contributor.advisor":["Gilbert, Thomas"],"dc:creator":["Ernst, Rory Joseph"],"dc:date.accessioned":["2022-01-26T23:22:33Z"],"dc:date.issued":["2022-01-26"],"dc:description":["Thesis (Ph.D.)--University of Washington, 2021"],"dc:description.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."],"dc:format.mimetype":["application/pdf"],"dc:identifier.other":["Ernst_washington_0250E_23768.pdf"],"dc:identifier.uri":["http://hdl.handle.net/1773/48210"],"dc:language.iso":["en_US"],"dc:rights":["none"],"dc:subject":["Finance"],"dc:title":["Essays on Macroeconomic Announcements and Asset Pricing"],"dc:type":["Thesis"]},"updated_at":"2026-07-24T05:58:27Z"}