Intraday Return Predictability in the Crude Oil Market: The Role of EIA Inventory Announcements
研究美国能源信息署（EIA）每周三的原油库存公告对日内收益可预测性的影响，发现公告日第三半小时收益能显著正向预测最后一半小时收益，而非公告日仅第一半小时有预测力，且利用这些信号可获经济收益。
We study the impact of the announcements released by the US Energy Information Administration (EIA) on crude oil storage every Wednesday at 10:30 ET (the beginning of the third half-hour interval) on intraday return predictability, that is, intraday momentum. Our results indicate that returns on the third half-hour on EIA announcement days can significantly and positively predict the returns in the last half-hour, whereas, on non-EIA announcement days, only returns in the first half-hour have significant predictability. The dominant source of prediction in the first half-hour return mainly comes from the overnight component. EIA announcements contribute to intraday momentum because they attract more informed traders and because the period surrounding their release is often associated with a reduction in liquidity. Substantial economic gains can be made by using efficient intraday predictors as trading signals.