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.
| Original language | English |
|---|---|
| Pages (from-to) | 465 - 479 |
| Number of pages | 15 |
| Journal | International Journal of Global Energy Issues |
| Volume | 35 |
| Issue number | 6 |
| DOIs | |
| Publication status | Published - 2012 |