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Award for finance research paper at Spain forum

Researchers Romulo Alves and Dr Marta Szymanowska from Rotterdam School of Management, Erasmus University (RSM) received a best paper award during the 27th Finance Forum, hosted by Universidad Carlos III de Madrid, which took place recently.



The Finance Forum is an annual knowledge and research conference of the Spanish finance association. This 27th edition included speakers such as Prof. Itay Goldstein (Wharton School of Business) and Prof. Sheridan Titman (McCombs School of Business). There were also best paper awards for research papers from all over the world in several areas of finance. More than 100 papers were presented.

Commodity futures markets

The award for the Best Paper on Derivatives went to The Information Content of Commodity Futures Markets by RSM PhD candidate Romulo Alves and Dr Marta Szymanowska.

“The jury chose the paper as the winner because of its originality and for furthering our understanding of the role of commodity futures markets in the global economy,” said Alves.

The paper explores what can be learned about stock markets and the real economy of countries worldwide from commodity futures markets and, if so, trying to understand why that is the case.

“Commodities are the backbone of the global economy,” said Alves, adding that many countries have high levels of trade dependence on primary commodities. “Movements in commodity prices can affect the lives of millions of people worldwide.

A truly global information role

For the award-winning paper, Alves and Szymanowska used a comprehensive sample of 70 countries, 6 commodity sectors, 28 individual commodities and 40 years of data. They found that commodity futures returns contain information relevant to stock market returns and macroeconomic fundamentals for a large number of countries.

Surprisingly, the researchers also found that the role of countries' dependence on commodity trade is limited in its ability to account for this predictability. This holds true even when considering new measures that take into account indirect exposures through financial and trade linkages between countries. They found much stronger evidence of predictability being related to the ability of commodities to forecast inflation rates. Overall, their evidence is consistent with commodity markets having a truly global information discovery role in relation to financial markets and the real economy.

“We’re thrilled to have the quality of our work recognised abroad,” Alves said about receiving the best paper award. “Research is often a slow-moving process, from idea generation to having a complete paper. So this award is a motivation to keep on working hard to make a positive impact.”

More information

Rotterdam School of Management, Erasmus University (RSM) is one of Europe’s top 10 business schools. RSM provides ground-breaking research and education furthering excellence in all aspects of management and is based in the international port city of Rotterdam – a vital nexus of business, logistics and trade. RSM’s primary focus is on developing business leaders with international careers who can become a force for positive change by carrying their innovative mindset into a sustainable future. Our first-class range of bachelor, master, MBA, PhD and executive programmes encourage them to become critical, creative, caring and collaborative thinkers and doers. Study information and activities for future students, executives and alumni are also organised from the RSM office in Chengdu, China. www.rsm.nl

For more information about RSM or this release, please contact Marianne Schouten, communications manager for RSM, on +31 10 408 2877 or by email at mschouten@rsm.nl.

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