This paper tests the hypothesis that long-short speculators are able to generate short-term investment returns based on their sentiment for twelve agricultural commodity futures. For this purpose, we dynamically model the equidirectional trading of long and short commodity futures of long-short...

The authors investigate multiplicate relationships between investor attention and gold futures return. The Vector Auto Regression (VAR) estimates demonstrate that investor attention exhibits significant impact on gold futures returns and the effect can be positive or negative depending on how...