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Analyst forecasts and price discovery in futures markets: The case of natural gas storage
Author(s) -
Gay Gerald D.,
Simkins Betty J.,
Turac Marian
Publication year - 2009
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.20368
Subject(s) - futures contract , price discovery , futures market , financial economics , economics , natural gas , econometrics , engineering , waste management
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