The informational content of oil and natural gas prices in energy fund performance
by Viet Do; Tram Vu
International Journal of Global Energy Issues (IJGEI), Vol. 35, No. 6, 2012

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.

Online publication date: Sat, 30-Aug-2014

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