The Natural Gas Announcement Day Puzzle

The Energy Journal, Forthcoming

23 Pages Posted: 8 May 2020

See all articles by Marcel Prokopczuk

Marcel Prokopczuk

University of Reading - ICMA Centre; Leibniz Universität Hannover - Faculty of Economics and Management

Chardin Wese Simen

University of Liverpool Management School

Robert Wichmann

ICMA Centre, University of Reading

Date Written: April 14, 2020

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.

Keywords: Gas Markets, Announcement Effect, Storage News, Intraday

JEL Classification: G14, Q02, Q43

Suggested Citation

Prokopczuk, Marcel and Prokopczuk, Marcel and Wese Simen, Chardin and Wichmann, Robert, The Natural Gas Announcement Day Puzzle (April 14, 2020). The Energy Journal, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3575861 or http://dx.doi.org/10.2139/ssrn.3575861

Marcel Prokopczuk (Contact Author)

University of Reading - ICMA Centre ( email )

Whiteknights Park
P.O. Box 242
Reading RG6 6BA
United Kingdom

Leibniz Universität Hannover - Faculty of Economics and Management ( email )

Koenigsworther Platz 1
Hannover, 30167
Germany

Chardin Wese Simen

University of Liverpool Management School ( email )

Management School
University of Liverpool
Liverpool, L69 7ZH
United Kingdom

Robert Wichmann

ICMA Centre, University of Reading ( email )

ICMA Centre, Whiteknights Campus
Shinfield Road
Reading, Berkshire RG6 6BA
United Kingdom
+44 118 378 8239 (Phone)

HOME PAGE: http://www.icmacentre.ac.uk

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