What drives informed trading before public releases? Evidence from natural gas inventory announcements
研究发现，在天然气库存公告前，高预测精度分析师的中位数预测与共识预测之差能预测库存意外，并解释部分公告前价格漂移，表明知情交易源于预测优势而非信息泄露。
This paper shows evidence of informed trading in the natural gas futures market before gas inventory announcements. We examine whether traders can predict the upcoming announcement by processing public information. The results show that the difference between the median forecast of analysts with high historical forecasting accuracy and the consensus forecast can be used to predict inventory surprises. This predictor explains some of the pre‐announcement price drift, suggesting that informed trading before the announcement is likely to be driven by superior forecasting rather than by information leakage. A simple trading strategy conditioned on the predictor would have generated an annualized Sharpe ratio of 1.26.