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: I am grateful to Oslo Stock Exchange for allowing me to publish these data.

Period

Data is from 1980:1 to 2019:12

Note that the accounting data post-2010 are sourced from Datastream, the OSE data service has stopped providing accounts. This may lead to some discrepancies when comparing to the previously calculated SMB and HML series, the current ones are using the B/M ratio for the whole firm when sorting on B/M, with data from the OSE 1980--2010, and from Datastream from 2010 onwards.

Also note that the Fama French factors for the period 2017-2019 are preliminary, they are likely to be revised based on new accounting 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

Crossectional portfolios daily returns

Portfolios sorted by similar criteria used to generate the factor portfolios

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, such as one day (overnight), one month, one quarter, or one year. 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