\section{Appendix A - Full Sample Results using the NLS Proxy}
\renewcommand{\thetable}{A-\arabic{table}}
\setcounter{table}{0}  % Reset table counter
\begin{sidewaystable}
\caption{Effects of Macro Announcements and Financialization (NLS) on Futures Returns - Full Sample}
\label{tab:macro_fin_nls_fut_returns_full}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lllllllllllll@{}}
\toprule
\textbf{Commodities}         & \multicolumn{2}{c}{\textbf{Crude Oil}}    & \multicolumn{2}{c}{\textbf{Gold}}          & \multicolumn{2}{c}{\textbf{Copper}}       & \multicolumn{2}{c}{\textbf{Silver}}  & \multicolumn{2}{c}{\textbf{Palladium}}    & \multicolumn{2}{c}{\textbf{Natural Gas}}       \\ \midrule
\textbf{Announcements}       & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} \\ \midrule \multicolumn{13}{c}{\textbf{Macroeconomic News Announcements}} \\ \midrule

\textbf{Initial jobless claims}       & -0.19763*** & 0.87888***   & 0.70022***   & -1.33955***  & -0.44930***  & 1.98801***   & -0.00740    & -0.01540    & 0.02913**    & -0.22057***  & -0.00266    & -0.10938    \\ 
\textbf{ADP Employment}               & 0.34291***  & -1.06756**   & -1.18741***  & 2.52498***   & 0.58107***   & -2.36989***  & -0.02591*** & 0.16900     & 0.00801      & -0.14170    & -0.11464*** & -2.79764*** \\ 
\textbf{CB Consumer}                  & 0.11672***  & -0.46895***  & -0.05938***  & 0.07030*     & 0.07957***   & -0.15159**   & 0.00049     & 0.00567     & -0.06841***  & 0.11631**   & 0.02933     & -0.01440    \\ 
\textbf{Advance retail sales}         & 0.19991***  & -0.74542***  & -0.22861***  & 0.44747***   & 0.10409***   & -0.42536**   & 0.01333     & -0.08638    & -0.01767     & 0.00664     & -0.02725    & -0.47149    \\ 
\textbf{Building permit}              & -0.00037    & 0.03995      & -0.02651**   & 0.03697      & 0.06270***   & -0.15653**   & 0.00698     & -0.00358    & -0.00233     & -0.03748    & 0.04272*    & 0.36164**   \\ 
\textbf{Construction spending}        & 0.02190     & -0.14609     & -0.04079**   & 0.09211**    & 0.04044*     & -0.14376*    & -0.00070    & -0.18868*** & 0.00951      & -0.00257    & -0.02886    & -0.17899    \\ 
\textbf{Consumer credit}              & -0.01646    & 0.08344      & -0.01359*    & 0.02955      & -0.01554*    & 0.06217      & 0.00217     & 0.02437     & 0.01087      & -0.01043    & -0.01175    & -0.11173    \\ 
\textbf{Consumer price index}         & 0.08391***  & -0.29308**   & -0.17224***  & 0.31022***   & 0.26865***   & -0.75945***  & -0.03002*** & -0.02265    & -0.14233***  & 0.23064***  & 0.01302     & 0.15012     \\ 
\textbf{Durable goods orders}         & 0.15300***  & -0.73816***  & -0.07265***  & 0.14703***   & 0.06435***   & -0.14930*    & -0.01052*   & 0.00024     & -0.05354***  & 0.14525***  & -0.00328    & -0.09972    \\ 
\textbf{Existing home sales}          & 0.08722***  & -0.59238***  & -0.02000     & 0.05026      & -0.02244     & 0.10822      & -0.02238*** & -0.06905    & 0.01177      & -0.04488    & 0.04083     & 0.21897     \\ 
\textbf{Factory orders}               & -0.00112    & 0.01036      & -0.02949     & 0.00285      & -0.05976**   & 0.14591      & 0.00357     & 0.02488     & -0.01887     & 0.00026     & 0.10729***  & 0.68503***  \\ 
\textbf{Gross domestic product}       & 0.04571*    & -0.18390     & -0.16085***  & 0.24165***   & 0.16953***   & -0.33056***  & 0.00920     & -0.00478    & -0.05405***  & 0.00789     & -0.03601    & -0.33730*   \\ 
\textbf{Housing starts}               & 0.03224     & -0.12690     & -0.06263***  & 0.11383***   & 0.07118***   & -0.14876**   & 0.00503     & 0.00563     & 0.00159      & -0.03648*   & 0.02340     & 0.38343**   \\ 
\textbf{Industrial production}        & 0.02075     & -0.15376     & -0.00085     & -0.07097     & -0.01332     & -0.11571     & -0.00947    & -0.00797    & -0.02227     & 0.02109     & -0.02279    & -0.02294    \\ 
\textbf{New home sales}               & 0.09853***  & -0.43638**   & -0.06940***  & 0.13595***   & -0.03309*    & -0.04095     & -0.02368*** & 0.08652*    & -0.00796     & 0.02235     & -0.00278    & -0.08427    \\ 
\textbf{Non-farm employment}          & 1.40422***  & -5.11125***  & -3.19414***  & 6.81185***   & 1.38897***   & -6.04367***  & -0.02702*** & 0.62417**   & 0.00013      & 0.15340     & -0.21810*** & -6.29434*** \\ 
\textbf{Pending home sales}           & 0.07333***  & -0.34943**   & -0.01840     & 0.00310      & -0.01292     & -0.02301     & -0.01712**  & -0.11126    & -0.00877     & 0.03099     & -0.02417    & -0.39913    \\ 
\textbf{Personal consumption}         & -0.01478    & 0.06799      & -0.03594**   & 0.06306*     & 0.00926      & -0.05828     & 0.00274     & 0.08690     & 0.01300      & -0.05027    & 0.00370     & 0.36897     \\ 
\textbf{Personal income}              & 0.00873     & -0.13628     & -0.07190     & 0.15000      & 0.25364***   & -1.05220**   & -0.01709*   & 0.27874**   & -0.01271     & -0.02240    & -0.02828    & -0.82024    \\ 
\textbf{Producer price index}         & 0.03513*    & -0.23561**   & -0.07698***  & 0.15026***   & -0.01476     & -0.04153     & -0.00480    & -0.01293    & -0.02035     & 0.04451     & -0.04862*   & -0.22346    \\ 
\textbf{Trade balance}                & 0.00320     & -0.05635     & -0.05207**   & 0.11911**    & -0.01111     & 0.04144      & -0.00354    & -0.13232    & -0.03871     & 0.07731     & -0.04667    & -0.45064    \\  
\textbf{Crude Oil Weekly inventory}   & -0.07659*** & -0.39633***  &             &              &              &              &             &             &             &             &             &             \\ 
\textbf{Natural Gas Weekly inventory} &             &             &             &              &              &              &             &             &             &             & -0.36472*** & -0.07672    \\  \midrule

\textbf{Observations}                 & \multicolumn{2}{c}{1193455}  & \multicolumn{2}{c}{1190001}  & \multicolumn{2}{c}{1180816}  & \multicolumn{2}{c}{1138696}  & \multicolumn{2}{c}{749168}   & \multicolumn{2}{c}{1101836}  \\ 
\textbf{$R^2$}                        & \multicolumn{2}{c}{0.001975}  & \multicolumn{2}{c}{0.002043}  & \multicolumn{2}{c}{0.001014}  & \multicolumn{2}{c}{0.000290} & \multicolumn{2}{c}{0.000246}  & \multicolumn{2}{c}{0.001176} \\ \bottomrule 
\end{tabular}
}
\begin{tablenotes}
\singlespacing
\footnotesize
This table presents estimates of eq. \ref{eq:Model 1}, $R_{t}^{t+\tau}=\alpha+\sum_{m=1}^{22} \gamma_m S_{m,t}+ \delta X_{t,i} + \sum_{m=1}^{22} \theta_m (S_{m,t} \cdot X_t)+\beta R_{t-\tau}^{t}+\epsilon_{t}$ using the method proposed by \citet{kurov2019price} and financialization variable $X_{t,2}=NLS_t$. The period covered is from 2007-04-01 to 2024-02-11. The $\gamma_m$ coefficients capture the instantaneous change in return when an announcement has just occurred and especially if that announcement was unanticipated. The coefficients $\theta_m$ capture the instantaneous change in return when an announcement has just occurred in conjunction with the level of financialization.
\end{tablenotes}
\end{sidewaystable}


\begin{sidewaystable}
\caption{Effects of Macro Announcements and Financialization (NLS) on Futures Conditional Variance - Full Sample}
\label{tab:macro_fin_nls_var_full}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lllllllllllll@{}}
\toprule
\textbf{Commodities}         & \multicolumn{2}{c}{\textbf{Crude Oil}}    & \multicolumn{2}{c}{\textbf{Gold}}          & \multicolumn{2}{c}{\textbf{Copper}}       & \multicolumn{2}{c}{\textbf{Silver}}  & \multicolumn{2}{c}{\textbf{Palladium}}    & \multicolumn{2}{c}{\textbf{Natural Gas}}       \\ \midrule
\textbf{Announcements}       & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} \\ \midrule \multicolumn{13}{c}{\textbf{Macroeconomic News Announcements}} \\ \midrule

\textbf{Initial jobless claims}   & 0.10116*** & -0.43618***  & 0.04743***  & 0.01989     & 0.11651***  & -0.18846***  & 0.02474***  & -0.05555***  & 0.11786***  & -0.11355*** & -0.01167    & -0.02107    \\ 
\textbf{ADP Employment}           & 0.02792    & -0.20043     & 0.06377***  & -0.08427*** & 0.05327***  & -0.03006     & 0.02831***  & 0.03382      & -0.02858*   & 0.01538     & 0.01600     & 0.05689     \\ 
\textbf{CB Consumer}              & 0.10356*** & -0.41440***  & 0.03139***  & 0.01209     & 0.04540***  & 0.02788      & 0.02838***  & -0.10290**   & 0.06091***  & -0.09895*** & -0.00770    & -0.01276    \\ 
\textbf{Advance retail sales}     & 0.16868*** & -0.86165***  & 0.09604***  & -0.05612*   & 0.12379***  & -0.05358     & 0.02819***  & -0.15572***  & 0.11351***  & -0.16926*** & 0.05769***  & 0.25105*    \\ 
\textbf{Building permit}          & 0.10470*** & -0.54035***  & 0.04592***  & -0.06034*   & 0.06133***  & -0.19301***  & 0.00484     & -0.07408*    & 0.07672***  & -0.06975*** & 0.02190     & -0.02627    \\ 
\textbf{Construction spending}    & 0.15338*** & -0.62724***  & 0.09518***  & -0.11889*** & 0.08606***  & -0.09793     & 0.04108***  & -0.18959***  & 0.04626***  & 0.01330     & -0.01904    & -0.32089**  \\ 
\textbf{Consumer credit}          & 0.04798*   & -0.26103*    & 0.00778     & -0.00318    & 0.01661     & 0.00378      & 0.00280     & 0.03858      & -0.00633    & 0.03412     & 0.00152     & 0.01392     \\ 
\textbf{Consumer price index}     & 0.07237**  & -0.06680     & 0.13915***  & -0.07513*   & 0.26627***  & -0.52898***  & 0.09389***  & -0.37452***  & 0.18224***  & -0.27404*** & 0.02706     & 0.03922     \\ 
\textbf{Durable goods orders}     & 0.09826*** & -0.41079***  & 0.02310**   & 0.01561     & 0.04156***  & 0.02205      & 0.00773     & -0.02411     & 0.06781***  & -0.03730    & -0.02225    & -0.25576*   \\ 
\textbf{Existing home sales}      & 0.04757*   & -0.05948     & 0.01879*    & 0.04102     & 0.03838***  & -0.02961     & 0.02231***  & -0.13249***  & 0.04815***  & -0.06749**  & 0.02201     & -0.11251    \\ 
\textbf{Factory orders}           & 0.08762*** & -0.31063**   & -0.00678    & 0.16162***  & 0.01842     & 0.15052**    & 0.02641***  & -0.13159***  & 0.03966***  & -0.04030    & -0.03041    & -0.69494*** \\ 
\textbf{Gross domestic product}   & 0.11632*** & -0.61837***  & 0.04659***  & 0.05303     & 0.09959***  & -0.06323     & 0.02464***  & 0.01653      & 0.11025***  & -0.12093*** & -0.05116**  & -0.30947**  \\ 
\textbf{Housing starts}           & 0.11313*** & -0.60745***  & 0.03660***  & -0.03112    & 0.06213***  & -0.19012***  & 0.00848     & -0.09479**   & 0.05963***  & -0.04924    & 0.01829     & 0.04047     \\ 
\textbf{Industrial production}    & 0.09578*** & -0.63833***  & 0.01928*    & 0.00308     & 0.02059     & -0.00706     & 0.00182     & -0.04794     & 0.01964     & -0.07145**  & -0.03281    & -0.18705    \\ 
\textbf{New home sales}           & 0.10149*** & -0.52688***  & 0.04068***  & 0.01515     & 0.05778***  & 0.02800      & 0.02485***  & -0.00096     & 0.06768***  & -0.11522*** & -0.02516    & -0.22929*   \\ 
\textbf{Non-farm employment}      & 0.36475*** & -1.20583***  & 0.23592***  & 0.04682     & 0.38126***  & -0.14107**   & 0.12881***  & -0.15602***  & 0.17336***  & -0.05048    & 0.02807     & -0.35383**  \\ 
\textbf{Pending home sales}       & 0.10920*** & -0.49393***  & 0.01999*    & -0.01624    & 0.02548*    & 0.02096      & 0.02833***  & -0.00831     & 0.05870***  & -0.08511*** & -0.01374    & -0.30813**  \\ 
\textbf{Personal consumption}     & 0.00638    & 0.02122      & 0.06203***  & -0.08145**  & 0.10177***  & -0.26781***  & 0.00662     & -0.00781     & 0.11081***  & -0.14798*** & 0.02410     & -0.37604**  \\ 
\textbf{Personal income}          & 0.00650    & 0.04657      & 0.09149***  & -0.15016*** & 0.12450***  & -0.34101***  & 0.01322**   & -0.02338     & 0.09417***  & -0.10866*** & 0.00283     & -0.43167*** \\ 
\textbf{Producer price index}     & 0.09735*** & -0.34959**   & 0.01720     & 0.08462**   & 0.09045***  & -0.09926     & 0.01106*    & -0.05096     & 0.11987***  & -0.06696**  & 0.00810     & 0.00477     \\ 
\textbf{Trade balance}            & 0.07844*** & -0.12829     & -0.00650    & 0.20643***  & 0.00273     & 0.39295***   & 0.00919     & 0.02977      & 0.10323***  & -0.08686*** & 0.01821     & 0.11158     \\  
\textbf{Crude Oil Weekly inventory}   & 0.00456    & 0.62373***   &             &             &             &             &             &             &             &             &             &             \\ 
\textbf{Natural Gas Weekly inventory} &             &             &             &             &             &             &             &             &             &             & 0.53064***  & -0.68665*** \\  \midrule

\textbf{Observations}                 & \multicolumn{2}{c}{1193455} & \multicolumn{2}{c}{1190001} & \multicolumn{2}{c}{1180816} & \multicolumn{2}{c}{1138696} & \multicolumn{2}{c}{749168}  & \multicolumn{2}{c}{1101836} \\ 
\textbf{$R^2$}                        & \multicolumn{2}{c}{0.070652} & \multicolumn{2}{c}{0.080638} & \multicolumn{2}{c}{0.073961} & \multicolumn{2}{c}{0.070571} & \multicolumn{2}{c}{0.076293} & \multicolumn{2}{c}{0.135964} \\ \bottomrule 
\end{tabular}
}
\begin{tablenotes}
\singlespacing
\footnotesize
This table presents estimates of eq. \ref{eqn:VarianceEqn} using the financialization variable $NLS_t$. The equation is $\sigma_{t}^2=\alpha_0+\alpha_1 \sigma_{t-1}^2+\alpha_2 \epsilon_t^2 +\sum_{m=1}^{22} \Phi_m D_{m,t}+\beta X_{i,t}+\sum_{k=1}^n \phi_k I_{kt} + \sum_{h=1}^{23} \rho_h D_h$ where $I_{kt}=D_{m,t} \cdot X_{i,t}$ and $D_{m,t}$ is a macro announcement dummy variable for release $m$. The period covered is from 2007-04-01 to 2024-02-11. The $\Phi_m$ coefficients capture the instantaneous change in the conditional variance when an announcement has just occurred. The $\phi_m$ coefficients capture the conditional variance when an announcement has just occurred in conjunction with the level of financialization.
\end{tablenotes}
\end{sidewaystable}
