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Analyst forecasts and price discovery in futures markets: The case of natural gas storage

✍ Scribed by Gerald D. Gay; Betty J. Simkins; Marian Turac

Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
182 KB
Volume
29
Category
Article
ISSN
0270-7314

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✦ Synopsis

Abstract

We investigate analyst forecasts in a unique setting, the natural gas storage market, and study the contribution of analysts in facilitating price discovery in futures markets. Using a high‐frequency database of analyst storage forecasts, we show that the market appears to condition expectations regarding a weekly storage release on the analyst forecasts and beyond that of various statistical‐based models. Further, we find that the market looks through the reported consensus analyst forecast and places differential emphasis on the individual forecasts of analysts according to their prior accuracy. Also, the market appears to place greater emphasis on analysts' long‐term accuracy than on their recent accuracy. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:451–477, 2009

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