Title: The informational content of oil and natural gas prices in energy fund performance

Authors: Viet Do; Tram Vu

Addresses: Department of Accounting and Finance, Monash University, P.O. Box 197, Caulfield East VIC 3145, Australia ' Department of Accounting and Finance, Monash University, P.O. Box 197, Caulfield East VIC 3145, Australia

Abstract: This paper explores whether the informational content of oil and gas prices has an impact on energy mutual fund returns. We first re-visit the relationship between oil and gas prices and energy index returns; our findings confirm that better energy index performance is associated with oil and gas price increases. Using the Fama and MacBeth (1973) two-stage regressions, we find that the information contained in oil and gas prices also plays a significant role in explaining energy mutual fund returns, making these an alternative investment to direct energy stock investments.

Keywords: oil prices; natural gas prices; energy funds; energy fund performance; mutual fund returns; information content; energy index returns; alternative investment; energy stock investments.

DOI: 10.1504/IJGEI.2012.051729

International Journal of Global Energy Issues, 2012 Vol.35 No.6, pp.465 - 479

Received: 17 Apr 2012
Accepted: 17 Oct 2012
Published online: 30 Aug 2014 *

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