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

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    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 languageEnglish
    Pages (from-to)465 - 479
    Number of pages15
    JournalInternational Journal of Global Energy Issues
    Issue number6
    Publication statusPublished - 2012

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