This study investigates the relationship between novel and old news sentiment and commodity futures returns. Using TRNA data from Thomson Reuters, we measure daily sentiment of both novel and old news to estimate their impact on commodity futures returns. Our findings reveal that both novel and old news sentiment significantly correlate with returns, with old sentiment having a stronger effect. Notably, only old news sentiment triggers an overreaction on the news day, which largely reverses over the subsequent 30 trading days. During periods of high financial stress and uncertainty, old news sentiment has a more pronounced impact on commodity futures returns. This paper contributes to the literature by highlighting the distinct impact patterns of old and novel news sentiment.

中文翻译：

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商品期货市场的新旧新闻情绪


本研究调查了新旧新闻情绪与商品期货回报之间的关系。使用汤森路透的 TRNA 数据，我们衡量了新奇和旧新闻的每日情绪，以估计它们对商品期货回报的影响。我们的研究结果表明，新奇和旧新闻情绪都与回报显著相关，旧情绪的影响更大。值得注意的是，只有旧新闻情绪才会在新闻日引发过度反应，在接下来的 30 个交易日中，这种反应在很大程度上发生了逆转。在财务压力和不确定性高的时期，旧新闻情绪对商品期货回报的影响更为明显。本文通过强调旧新闻和新奇新闻情绪的不同影响模式来为文献做出贡献。