Newswire tone-overlay commodity portfolios

Adrian Fernandez-Perez, Ana-Maria Fuertes, Joëlle Miffre and Nan Zhao
Additional contact information
Adrian Fernandez-Perez: AUT - Auckland University of Technology
Ana-Maria Fuertes: Bayes Business School
Joëlle Miffre: Audencia Business School
Nan Zhao: Lancaster University

Post-Print from HAL

Abstract: This paper introduces the tone-overlay framework for adjusting traditional commodity signals based on the level of salient optimism or pessimism in commodity newswires. By implementing the novel tone-overlay allocation strategy on 26 commodities using traditional allocation signals, we demonstrate that the resulting long-short portfolios yield substantial performance gains compared to the corresponding plain-vanilla traditional portfolios. Our findings suggest that newswire tone provides short-term predictive power for commodity futures returns, beyond well-known commodity characteristics. The tone-overlay portfolios harness a temporary mispricing that reflects an overreaction of commodity futures prices to commodity-specific newswire tone. The outperformance of the tone overlay strengthens with the salience of the newswire tone, consistent with theories of limited investor attention.

Keywords: Mispricing; Salience; Tactical allocation; Commodity futures; Sentiment; Textual analysis; Newswire tone-overlay portfolio (search for similar items in EconPapers)
Date: 2025-09
Note: View the original document on HAL open archive server: https://hal.science/hal-05143194v1
References: Add references at CitEc
Citations:

Published in Journal of banking & finance = Journal of banking and finance, 2025, 178, pp.107501. ⟨10.1016/j.jbankfin.2025.107501⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05143194

DOI: 10.1016/j.jbankfin.2025.107501

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().