This paper examines whether the economic news pessimism risk factor is priced by the investors in the cross-section of commodity futures returns. Using a unique economic news dataset, we find that the pessimism risk factor is priced in a range of commodity portfolios. Our analysis reveals a strong asymmetric effect of news on the commodity futures excess returns, and commodities with low basis, low momentum, low open interest and high volatility are exposed to negative news risk. We show that trading on pessimistic news yields meaningful profits that are unexplained by the market, basis and momentum factors.

中文翻译：

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经济新闻和商品期货回报的横截面

本文考察了经济新闻悲观风险因素是否被投资者在商品期货收益的横截面中定价。使用独特的经济新闻数据集，我们发现悲观风险因素在一系列商品投资组合中定价。我们的分析显示，消息对商品期货超额收益的非对称效应很强，低基差、低动量、低持仓量和高波动性的商品面临负面消息风险。我们表明，根据悲观消息进行交易会产生市场、基差和动量因素无法解释的有意义的利润。