This chapter explores the relationship between energy information and stock return predictability from two perspectives: the impact of oil price trends and the influence of a Narrative-Based Energy Index (NEG). First, we examine how fluctuations in oil prices affect stock returns, revealing their significant role in predicting stock market returns. Second, we introduce the NEG to capture media narratives related to energy topics, analyzing its predictive power for stock market outcomes. By integrating these dimensions, our research enhances the understanding of stock return predictability, offering valuable insights for investors and improving forecasting models in financial markets.