The Natural Gas Announcement Day Puzzle
Marcel Prokopczuk,
Chardin Wese Simen and
Robert Wichmann
The Energy Journal, 2021, vol. 42, issue 2, 91-112
Abstract:
This paper studies natural gas futures returns on EIA storage announcement days.More than 50% of the annual return is earned on these days. We find a significant difference between announcement and non-announcement day returns, which cannot be explained by the announcement surprise or other control variables. At the intraday level, the return splits half into a pre- and post-announcement part. The pre-announcement return is entirely generated on days when storage levels exceed analysts’ expectations casting doubt on explanations based on informed trading.After transaction and funding cost, a simple trading strategy yields substantial returns.Gas Markets, Announcement Effect, Storage News, Intraday
Keywords: Gas Markets; Announcement Effect; Storage News; Intraday (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:sae:enejou:v:42:y:2021:i:2:p:91-112
DOI: 10.5547/01956574.42.2.mpro
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