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.


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.


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, one month. The interest rates are not in percent, and not annualized.


The construction of these indices is detailed in Bernt Arne Ødegaard: Empirics of the Oslo Stock Exchange