Novel and old news sentiment in commodity futures markets

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. • Commodity futures returns correlate more strongly with old news sentiment than novel news sentiment. • Negative news sentiment is found to have a significantly stronger impact on returns than positive news sentiment for old news only. • Overreaction to old news sentiment occurs on the news day, with subsequent return reversals. • Both the novel and old news sentiment effects converge within 30 trading days. • Old news sentiment has a more heightened impact during periods of high financial stress and uncertainty compared to novel news sentiment.