The Natural Gas Announcement Day Puzzle
The Energy Journal, Forthcoming
23 Pages Posted: 8 May 2020
Date Written: April 14, 2020
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.
Keywords: Gas Markets, Announcement Effect, Storage News, Intraday
JEL Classification: G14, Q02, Q43
Suggested Citation: Suggested Citation