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News Sentiment and Commodity Futures Investing

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Journal article(368.67 KB)
Evidence for verification(368.57 KB)

Date

2025-07-21

Authors

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Item type

Journal Article

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Publisher

Wiley

Abstract

We investigate the role of media news sentiment in commodity futures investing. The weekly rebalanced long-short portfolio sorted by news sentiment generates a significant average annualized return of around 8.3% after transaction costs. The time-series spanning test reveals that the abnormal return of the long-short portfolio sorted by news sentiment is statistically significant at above 7% even after controlling for various benchmark factors. The premium of the news sentiment factor is also significantly priced at above 8% in the cross-section of commodity futures returns. Furthermore, we show that news sentiment enhances the performance of commodity futures investment portfolios.

Description

Keywords

3502 Banking, Finance and Investment, 35 Commerce, Management, Tourism and Services, 1502 Banking, Finance and Investment, Finance, commodity futures pricing, factor investing, long‐short strategy, media news sentiment

Source

Journal of Futures Markets, ISSN: 0270-7314 (Print); 1096-9934 (Online), Wiley. doi: 10.1002/fut.70019

DOI

10.1002/fut.70019

Publisher's version

https://onlinelibrary.wiley.com/doi/10.1002/fut.70019

Rights statement

This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited. © 2025 The Author(s). The Journal of Futures Markets published by Wiley Periodicals LLC

Permanent link

http://hdl.handle.net/10292/19715

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The Business School - Te Kura Kaipakihi