EIA Storage Announcements, Analyst Storage Forecasts, and Energy Prices

The Energy Journal, Vol.40(5), 2019

53 Pages Posted: 26 Oct 2016 Last revised: 25 Aug 2019

See all articles by Louis H. Ederington

Louis H. Ederington

University of Oklahoma - Division of Finance

Fang Lin

Pittsburg State University - Kelce College of Business

Scott C. Linn

University of Oklahoma - Michael F. Price College of Business

Lisa Yang

Montana State University - Bozeman

Date Written: June 1, 2019

Abstract

Exploring properties both of the EIA’s natural gas and crude oil storage announcements and of analyst forecasts of the EIA storage figures, we find that analyst storage forecasts bring additional information to the market beyond seasonal patterns and past storage flows and that the market promptly incorporates analyst forecasts into oil and gas prices prior to the EIA announcements. Analyst’s natural gas forecasts efficiently impound the available time-series information but crude oil forecasts do not. We further find that the price reaction to subsequent EIA natural gas storage announcements is contingent on the level of analyst forecast uncertainty as proxied by analyst forecast disagreement. Storage flows higher or lower than analysts had expected one week tend to be partially reversed the following week and analyst forecast dispersion regarding future forecasts increases following large forecast errors.

Keywords: Energy Market, Storage Forecasts, EIA Storage Reports

JEL Classification: Q47, G10, G1

Suggested Citation

Ederington, Louis H. and Lin, Fang and Linn, Scott C. and Yang, Lisa, EIA Storage Announcements, Analyst Storage Forecasts, and Energy Prices (June 1, 2019). The Energy Journal, Vol.40(5), 2019, Available at SSRN: https://ssrn.com/abstract=2858673 or http://dx.doi.org/10.2139/ssrn.2858673

Louis H. Ederington (Contact Author)

University of Oklahoma - Division of Finance ( email )

Norman, OK 73019
United States
405-325-5591 (Phone)
405-325-7688 (Fax)

Fang Lin

Pittsburg State University - Kelce College of Business ( email )

1701 S Broadway St
Pittsburg, KS N.A. 66762
United States

Scott C. Linn

University of Oklahoma - Michael F. Price College of Business ( email )

307 West Brooks
Norman, OK 73019-4004
United States
405-325-3444 (Phone)
405-325-1957 (Fax)

Lisa Yang

Montana State University - Bozeman ( email )

Bozeman, MT 59717-2920
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
114
Abstract Views
1,121
rank
291,840
PlumX Metrics