We propose a method to overlay the tone of commodity-specific newswires upon the commodity characteristics traditionally used in long-short portfolio allocations. Implementing the tone-overlay strategy on 26 commodities generates substantial risk-adjusted profitability gains relative to the...

We propose a method to overlay the tone of commodity-specific newswires upon the commodity characteristics traditionally used in long-short portfolio allocations. Implementing the tone-overlay strategy on 26 commodities generates substantial risk-adjusted profitability gains relative to the...

We examine the spillover effects between social media sentiments and market-implied volatilities among stock, bond, foreign exchange, and commodity markets. We find that informational spillover comes mainly from volatility indices to sentiment indices, with the VIX being the most significant net...

We examine the spillover effects between social media sentiments and market-implied volatilities among stock, bond, foreign exchange, and commodity markets. We find that informational spillover comes mainly from volatility indices to sentiment indices, with the VIX being the most significant net...

This article compares traditional hedging that aims at covering spot price risk and selective hedging that also speculates by forecasting futures price changes. The selective hedges we consider use different forecasts that range from the historical average return to (V)AR model projections,...

The article appraises the role of spot market auction data in the discovery process of the price of whole milk powder, whose futures contracts are cash-settled to Global Dairy Trade (GDT) auction prices. We find that price discovery in the whole milk powder market primarily takes place in the...

We examine the mechanism by which social media sentiment affects stock prices. Specifically, we assess the impact of Twitter feeds on stock returns at the intraday level. We find that an increase in buyer-initiated trades has a significantly positive price impact. The impact is stronger with an...