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, Oslo Børs and NoRe.

From this data I calculate a number of different derived time series:

Period

Stock market data and risk free rates is from 1980:1 to 2023:12.

The indices and market factors are using a slightly different filter relative to earlier, which may lead to some differences with previously published data.

Market returns

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.

Pricing factors

Fama French factors: HML, SMB, UMB. Factor portfolio as calculated by Fama and French (1998) 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.