Analyst Forecasts and Price Discovery in Futures Markets: The Case of Natural Gas Storage

Inventory announcements, jump dynamics, volatility and trading volume in U.S. energy futures markets

“…Linn and Zhu (2004) report an increase in volatility before and after the release of inventory reports by the Energy Information Administration. Gay et al (2009) demonstrate that 1% unexpected increase in natural gas inventory results in an approximately 1% drop in the natural gas price. Furthermore, they provide evidence that prices react strongest to forecasts of analysts with better prior forecast accuracy.…”

“…Previous papers that examine price behavior and volatility surrounding inventory announcements of energy stocks include Linn and Zhu (2004), Gay et al (2009), Halova et al (2014) and others. Linn and Zhu (2004) report an increase in volatility before and after the release of inventory reports by the Energy Information Administration.…”

Price Drift Before U.S. Macroeconomic News: Private Information about Public Announcements?

“…37 Here, we build on previous research that uses individual forecasts. For example, C. Chang, Daouk, and Wang (2009) show for crude oil and Gay, Simkins, and Turac (2009) show for natural gas that these markets react more to inventory forecasts by professional forecasters with a track record of higher forecasting accuracy. In forecasts of macroeconomic announcements, Brown, Gay, and Turac (2008) use individual forecasts to construct a forecast that improves on the Bloomberg consensus forecasts for 26 U.S. macro announcements.…”

Asymmetric impacts of fundamentals on the natural gas futures volatility: An augmented GARCH approach

“…Arguably, a more precise method of deriving a surprise variable would be calculating the difference between ex-ante analyst forecasts and ex-post realization of storage level. For example, Gay et al (2009), Bu (2014, and Halova et al (2014) used such forecast data to construct storage surprise variables. We do not have access to well-populated storage forecast data for our sample period but it will be interesting to check the sensitivity of our results to this alternative in a future research.…”