Information Transmission in Finance: Essays on Commodity Markets, Sustainable Investing, and Social Networks




This dissertation contains three empirical papers about information transmission in financial markets and the corporate world. The goal is to contribute to our understanding of how asset prices and corporate decisions are shaped by information flows across different markets and firms.

Chapter 2 documents that commodity futures returns have information about future stock returns and macroeconomic fundamentals in a wide range of countries around the world. This chapter also dispels the notions that information flows from commodity to stock markets are restricted to large countries, countries with high levels of trade dependence on commodity trade, and the energy sector. Instead, the evidence suggests that commodity markets play a truly global and unique information discovery role for stock markets and macroeconomic fundamentals.

Chapter 3 studies the stock market performance of sustainable investing. This chapter shows that the ESG (“Environment, Social, and Governance”) ratings of firms seldom have information about future stock returns once other stock characteristics are controlled for. This result is robust to examining ESG ratings from different rating agencies, different world regions, different sectors of economic activity, and different time periods.

Chapter 4 uses social network data covering 83,604 executives and top directors of Russell 3000 firms to show that firms’ corporate social responsibility (CSR) practices spread through the business world via directors’ social networks. This pattern of information transmission is only present for firms that are strategically positioned in the social network to acquire valuable information, firms for which CSR is more likely to add value, and firms in which the incentives of managers and shareholders are aligned. Overall, the results suggest that corporate social responsibility is consistent with good corporate governance.