Media emotion intensity and commodity futures pricing
Year: 2025
Type: article
Abstract: This study investigates the impact of media emotion intensity on commodities futures returns. Emotion intensity measures the proportion of emotional content relative to factual content in media news. The media emotion intensity factor generates an annual premium of 13% after transaction cost. This premium is more pronounced for commodities with low media coverage, high momentum, high basis-momentum, high hedging pressure, and backwardation. Emotion intensity significantly predicts the trading tendencies of both commercial and non-commercial traders and the cross-section of commodity futures returns at both portfolio and individual levels. We also find that media emotion intensity predicts future commodities’ sentiment. Further, other commonly considered risk sources cannot subsume the predictability of the media emotion intensity factor.
Source: Journal of commodity markets
Authors: Yeguang Chi, Lina El-Jahel, Thanh Vu
Institution: University of Auckland
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
Estimated APC paid: $2,910
OpenAlex ID: W4407245841