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- W3123376412 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." @default.
- W3123376412 created "2021-02-01" @default.
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- W3123376412 date "2020-01-01" @default.
- W3123376412 modified "2023-10-17" @default.
- W3123376412 title "The Natural Gas Announcement Day Puzzle" @default.
- W3123376412 doi "https://doi.org/10.2139/ssrn.3575861" @default.
- W3123376412 hasPublicationYear "2020" @default.
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