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News Sentiment and Commodity Futures Investing

Author

Listed:
  • Chi Yeguang
  • Lina El‐Jahel
  • Thanh Vu

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.

Suggested Citation

  • Chi Yeguang & Lina El‐Jahel & Thanh Vu, 2025. "News Sentiment and Commodity Futures Investing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(10), pages 1740-1756, October.
    • Handle: RePEc:wly:jfutmk:v:45:y:2025:i:10:p:1740-1756
    DOI: 10.1002/fut.70019
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    References listed on IDEAS

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