Do intelligent animals react to music in a major cord differently from music in a minor?

We humans Beethoven’s Mondschein (moonlight) Sonata in C minor sounds beautifully contemplative and sad; and all familiar with music theory recognize not only this Sonata; but most sad, darkly contemplative works are in a minor key. Likewise, grand, sweeping works like Wagner’s Die Walküre (The Ride of the Valkeries in E major) are written in a major key. We instinctively find a minor key sad sounding, and a major key bright and uplifting.

As far as I know, nobody knows why we react so. We just know that we do. But do intelligent animals react as if the musical keys affect them in the same way they do humans. Will a dog wag her tail and cavort to The Ride of the Valkeries but droop her head and fold her tail between her legs on hearing the Mondschein Sonata? Whales have complex songs they use to communicate. A pod of whales almost certainly can hear and react to subtle differences in keys and notes of sound. Do they react emotionally to human music? If so, how? Is anyone aware of animal research in this area?