Asset pricing data at OSE
This page contain some calculated data useful for academic asset pricing
investigations at the Oslo Stock Exchange.
Source of data
The source of the raw data is daily observations of stock market data from the
Oslo Stock Exchange Data Service. From this data I calculate a number of
different derived time series:
- Asset pricing factors for the Oslo Stock Exchange similar to those developed by
Eugene Fama and Ken French (See the homepage of Ken
French:
Data Library
- Market portfolio returns
- Sector/Characteristic sorted portfolio returns
I am grateful to Oslo Stock Exchange for allowing me to publish these data.
Period
Data is from 1980:1 to 2020:11.
Note that these series are updated with more complete accounting data, which may lead to
some differences with previously published data. In particular the B/M sorting is now
the Book/Market ratio for equity, in line with the Ken French data.
Documentation
The data is described in the papers
"Empirics of the Oslo Stock Exchange: Basic Results" and
"Empirics of the Oslo Stock Exchange: Asset Pricing Results" both by Bernt Arne
Ødegaard.
Market returns
Contents: Returns of two indices constructed from most stocks at the OSE (the
least liquid and smallest stocks are filtered out). EW is an equally weighted
index. VW is a value weighted index.
Pricing factors
Fama French factors: HML, SMB, UMB.
Factor portfolio as calculated by Fama and French (1998) using norwegian data.
Carhart Momentum factor PR1YR: Factor portfolio as calculated by
Carhart (1997) using Norwegian data.
Liquidity Factor LIQ: See Naes, Skjeltorp and Odegaard (2009) for description.
Crossectional portfolios
Portfolios sorted by similar criteria used to generate the factor portfolios
- Size portfolios. 10 portfolios sorted by equity size, monthly
returns. Equity size as of end of last year.
- B/M portfolios. Portfolios sorted by B/M value of equity.
- Momentum portfolios
- Spread portfolios
- Industry portfolios
- Fama French 2x3 (for the specialist)
Crossectional portfolios daily returns
Portfolios sorted by similar criteria used to generate the factor portfolios
- Size portfolios. 10 portfolios sorted by equity size, daily
returns. Equity size as of end of last year.
- B/M portfolios. Portfolios sorted by B/M of equity.
- Momentum portfolios
- Spread portfolios
- Industry portfolios
- Fama French 2x3 (for the specialist)
Risk free rates
Estimate of the risk free rate. These interest rates are forward looking,
they are the interest rate for borrowing the given date the stated period,
one month.
The interest rates are not in percent, and not annualized.
Descriptions
The construction of these indices is detailed in Bernt Arne
Ødegaard: Empirics of the Oslo Stock Exchange