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The natural gas announcement day puzzle

Prokopczuk, M., Wese Simen, C. and Wichmann, R. (2020) The natural gas announcement day puzzle. Energy Journal. ISSN 1944-9089 (In Press)

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Abstract/Summary

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.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:90003
Publisher:International Association for Energy Economics

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