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Do investors learn about analyst accuracy? A study of the oil futures market

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  • Charles Chang
  • Hazem Daouk
  • Albert Wang

Abstract

We study the impact of analyst forecasts on prices to determine whether investors learn about analyst accuracy. The straight‐forward relationship between supply and price, the economic importance of the market, the predictable timing of forecast error realizations, and the high frequency of the data make the crude oil market an interesting and advantageous setting. We find that prices rise (fall) when analysts forecast a decrease (increase) in supplies. During the 15 minutes following supply announcements, prices rise (fall) when forecasts have been too high (low). Importantly, both relationships are stronger for more accurate analysts, implying that investors learn about analyst accuracy. © 2009 Wiley Peridocals, Inc. Jrl Fut Mark 29:414–429, 2009

Suggested Citation

  • Charles Chang & Hazem Daouk & Albert Wang, 2009. "Do investors learn about analyst accuracy? A study of the oil futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 29(5), pages 414-429, May.
    • Handle: RePEc:wly:jfutmk:v:29:y:2009:i:5:p:414-429
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    Cited by:

    1. Isabel Figuerola‐Ferretti & Alejandro Rodríguez & Eduardo Schwartz, 2021. "Oil price analysts' forecasts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1351-1374, September.
    2. Don Bredin & John Elder & Stilianos Fountas, 2011. "Oil volatility and the option value of waiting: An analysis of the G‐7," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(7), pages 679-702, July.
    3. Kurov, Alexander & Sancetta, Alessio & Strasser, Georg & Wolfe, Marketa Halova, 2019. "Price Drift Before U.S. Macroeconomic News: Private Information about Public Announcements?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(1), pages 449-479, February.
    4. Olivier Rousse & Benoît Sévi, 2017. "Informed Trading in Oil-Futures Market," Working Papers hal-01460186, HAL.
    5. Olivier Rousse & Benoît Sévi, 2016. "Informed Trading in Oil-Futures Market," Working Papers hal-01410093, HAL.
    6. Chen Gu & Alexander Kurov, 2018. "What drives informed trading before public releases? Evidence from natural gas inventory announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(9), pages 1079-1096, September.
    7. Ye, Shiyu & Karali, Berna, 2016. "The informational content of inventory announcements: Intraday evidence from crude oil futures market," Energy Economics, Elsevier, vol. 59(C), pages 349-364.

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