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News Sentiment and Commodity Futures Investing

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aut.relation.articlenumberfut.70019
aut.relation.journalJournal of Futures Markets
dc.contributor.authorYeguang, C
dc.contributor.authorEl-Jahel, L
dc.contributor.authorVu, T
dc.date.accessioned2025-08-22T03:52:41Z
dc.date.available2025-08-22T03:52:41Z
dc.date.issued2025-07-21
dc.description.abstractWe 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.
dc.identifier.citationJournal of Futures Markets, ISSN: 0270-7314 (Print); 1096-9934 (Online), Wiley. doi: 10.1002/fut.70019
dc.identifier.doi10.1002/fut.70019
dc.identifier.issn0270-7314
dc.identifier.issn1096-9934
dc.identifier.urihttp://hdl.handle.net/10292/19715
dc.languageen
dc.publisherWiley
dc.relation.urihttps://onlinelibrary.wiley.com/doi/10.1002/fut.70019
dc.rightsThis 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
dc.rights.accessrightsOpenAccess
dc.subject3502 Banking, Finance and Investment
dc.subject35 Commerce, Management, Tourism and Services
dc.subject1502 Banking, Finance and Investment
dc.subjectFinance
dc.subjectcommodity futures pricing
dc.subjectfactor investing
dc.subjectlong‐short strategy
dc.subjectmedia news sentiment
dc.titleNews Sentiment and Commodity Futures Investing
dc.typeJournal Article
pubs.elements-id619943

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