The Natural Gas Announcement Day Puzzle

Prokopczuk, Marcel, Simen, Chardin Wese and Wichmann, Robert (2021) The Natural Gas Announcement Day Puzzle. The Energy Journal, 42 (2). pp. 91-112. ISSN 0195-6574, 1944-9089

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Abstract

<jats:p> 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 </jats:p>

Item Type:	Article
Uncontrolled Keywords:	4004 Chemical Engineering, 40 Engineering, 4008 Electrical Engineering, 4012 Fluid Mechanics and Thermal Engineering
Depositing User:	Symplectic Admin
Date Deposited:	15 Apr 2020 09:56
Last Modified:	06 Dec 2024 16:58
DOI:	10.5547/01956574.42.2.mpro
Related URLs:	Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3083246