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The Natural Gas Announcement Day Puzzle

Author

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  • Marcel Prokopczuk
  • Chardin Wese Simen
  • Robert Wichmann

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.Gas Markets, Announcement Effect, Storage News, Intraday

Suggested Citation

  • Marcel Prokopczuk & Chardin Wese Simen & Robert Wichmann, 2021. "The Natural Gas Announcement Day Puzzle," The Energy Journal, , vol. 42(2), pages 91-112, March.
    • Handle: RePEc:sae:enejou:v:42:y:2021:i:2:p:91-112
    DOI: 10.5547/01956574.42.2.mpro
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    References listed on IDEAS

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