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
Up to 2020:11, the source of the stock market data is daily observations of
stock market data from the Oslo Stock Exchange Data Service. After that the
stock market data is sourced from Yahoo finance. Accounts are from Refinitiv.
Risk free rates are from Norges Bank.
From this data I calculate a number of different derived time series:
- Market portfolio returns
- Asset pricing factors for the Oslo Stock Exchange similar to those developed by
Eugene Fama and Ken French
(See the homepage of Ken French:
- Risk free rates
Stock market data and risk free rates is from 1980:1 to 2022:12.
The indices and market factors are using a slightly different filter relative to
earlier, which may lead to some differences with previously published data.
Contents: Returns of two indices constructed from most stocks at the OSE (the
least liquid stocks are filtered out). EW is an equally weighted index. VW is a
value weighted index.
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.
Risk free rates
Estimate of the risk free rate. These interest rates are forward looking, it is the interest rate
for borrowing at the given date the stated period, eg one month, ahead. The interest rates are not
in percent, and not annualized.