Template-Type: ReDIF-Article 1.0
Author-Name:  Marcel Prokopczuk, Chardin Wese Simen, and Robert Wichmann
Title:  The Natural Gas Announcement Day Puzzle
Classification-JEL: F0
Pages:  91-112
Volume:  Volume 42
Issue:  Number 2
Year:  2021
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.
Handle: RePEc:aen:journl:ej42-2-Wichmann
File-URL: http://www.iaee.org/en/publications/ejarticle.aspx?id=3628
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