PhD Defence Romulo Alves
In his dissertation ‘Information Transmission in Finance: Essays on Commodity Markets, Sustainable Investing, and Social Networks’ Romulo Alves presented 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. Romulo has defended his dissertation on Wednesday, 15 December at 10:30h. His supervisors were Prof. Mathijs van Dijk (RSM) and Dr Marta Szymanowska (RSM). The members of the Doctoral Committee were Prof. Daniel Metzger (RSM), Prof. Loriana Pelizzon (University of Frankfurt), and Prof. Luc Renneboog (Tilburg University).
Rómulo Alves was born in Santarém, Portugal, on April 30, 1991. Before the start of his PhD in 2016, he completed a Bachelor in Management at the Nova School of Business and Economics in Lisbon, a Master in Finance (cum laude) at the Rotterdam School of Management, Erasmus University, and a Research Master in Economics at the Tinbergen Institute in Amsterdam. During this period he co-founded Nova University’s debate club, co-organized the first Leadership Tournament in Portugal, worked in microfinance in India, held leadership positions in AIESEC, and received a best master thesis award and a citizenship award.
During his PhD at the Erasmus University Rotterdam, Rómulo presented his work at various conferences and seminars around the world, such as the annual meetings of the American Finance Association, the European Finance Association, and the SFS Cavalcade Asia-Pacific. He also received two best paper awards and went on a research visit to the London Business School. Rómulo now lives in Paris where he is Assistant Professor of Finance at SKEMA Business School. His current research interests include corporate governance, corporate social responsibility, corporate finance, and sustainable finance.
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.