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.

中文翻译：

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天然气公告日拼图

本文研究了 EIA 存储公告日的天然气期货回报。超过 50% 的年回报是在这些日子里赚取的。我们发现公告日和非公告日回报之间存在显着差异，这无法用公告意外或其他控制变量来解释。在日内水平，回报分为公告前和公告后部分。公告前的回报完全是在存储水平超过分析师预期的日子里产生的，这对基于知情交易的解释产生了怀疑。在交易和融资成本之后，简单的交易策略会产生可观的回报。