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The Natural Gas Announcement Day Puzzle

Marcel Prokopczuk, Chardin Wese Simen, and Robert Wichmann

Year: 2021
Volume: Volume 42
Number: Number 2
DOI: 10.5547/01956574.42.2.mpro
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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.





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