Analyst forecasts and price discovery in futures markets: The case of natural gas storage
研究了天然气库存市场中分析师预测对期货市场价格发现的作用，发现市场会根据分析师的历史准确性差异化地对待其预测，且更看重长期准确性而非近期表现。
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