Rómulo Alves

We aim to provide the most comprehensive analysis to date of the relation between ESG ratings and stock returns, using 16,000+ stocks in 48 countries and seven different ESG rating providers. We find very little evidence that ESG ratings are related to global stock returns over 2001-2020. This finding obtains across different regions, time periods, ESG (sub)ratings, ESG momentum, ESG downgrades and upgrades, and best-in-class strategies. We further find little empirical support for prominent hypotheses from the literature on the role of ESG uncertainty and of country-level ESG social norms, ESG disclosure standards, and ESG regulations in shaping the relation between ESG and global stock returns. Overall, our results suggest that ESG investing did not systematically affect investment performance during the past two decades.

I show that corporate social responsibility (CSR) spreads through the social networks of firms' directors. This result is obtained using a novel identification strategy exploiting the imperfect overlap between industry, geographic and social peers, a diff-in-diff relying on directors' deaths, and a regression discontinuity design based on CSR proposals. Social network effects are concentrated in firms pursuing product differentiation strategies for which CSR is more likely to add value, firms strategically positioned in the social network to acquire valuable information, and firms in which the incentives of managers and shareholders are aligned. This suggests that some firms aim to create value by using social networks as a market for information exchange on CSR. I find little evidence for alternative explanations such as social norms and agency problems.

Best Paper Award at Erasmus PhD Seminar Series (Rotterdam, 2020)

We find that commodity futures returns have a truly global information discovery role for financial markets and the real economy around the world. The information content of non-energy commodity sector returns not only rivals the economic importance of the information content of the energy sector but is also fundamentally different from it. In line with recent theoretical work (e.g., Sockin and Xiong (2015)), we find that the information role of non-energy sectors is largely explained by sectors’ ability to aggregate unique information about global macroeconomic fundamentals beyond what would be expected on the basis of countries’ dependence on commodity trade.

Best Paper Award in Financial Derivatives at the 27th Finance Forum (Madrid, 2019)

Rotterdam School of Management, Erasmus University Rotterdam, Netherlands

PhD in Finance

London Business School, United Kingdom

Visiting Scholar

Tinbergen Institute, Netherlands

MPhil in Economics

Rotterdam School of Management, Erasmus University Rotterdam, Netherlands

MSc in Finance and Investments

Nova School of Business and Economics, Portugal

BSc in Management