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What factors affect the Oslo Stock Exchange?

Author Info

  • Randi Næs

    (Norges Bank (Central Bank of Norway))

  • Johannes A. Skjeltorp

    ()

    (Norges Bank (Central Bank of Norway))

  • Bernt Arne Ødegaard

    (University of Stavanger and Norges Bank)

Abstract

This paper analyzes return patterns and determinants at the Oslo Stock Exchange (OSE) in the period 1980-2006. We find that a three-factor model containing the market, a size factor and a liquidity factor provides a reasonable fit for the cross-section of Norwegian stock returns. As expected, oil prices significantly affect cash flows of most industry sectors at the OSE. Oil is, however, not a priced risk factor in the Norwegian stock market. As the case in many other countries, we find that macroeconomic variables affect stock prices, but since we find only weak evidence of these variables being priced in the market, the most reasonable channel for these effects is through company cash flows.

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File URL: http://www.norges-bank.no/en/Published/Papers/Working-Papers/2009/WP-200924/
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Paper provided by Norges Bank in its series Working Paper with number 2009/24.

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Length: 61 pages
Date of creation: 05 Nov 2009
Date of revision:
Handle: RePEc:bno:worpap:2009_24
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Keywords: Stock Market Valuation; Asset Pricing; Factor Models; Generalized; Method of Moments;

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Find related papers by JEL classification:
  • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
  • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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Cited by:

  1. Gallefoss, Kristoffer & Hansen, Helge Hoff & Haukaas, Eirik Solli & Molnár, Peter, 2015. "What daily data can tell us about mutual funds: Evidence from Norway," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 117-129.
  2. Johannes A. Skjeltorp & Bernt Arne Ødegaard, 2010. "Why do firms pay for liquidity provision in limit order markets?," Working Paper 2010/12, Norges Bank.
  3. Skjeltorp, Johannes & Ødegaard, Bernt Arne, 2009. "The information content of market liquidity: An empirical analysis of liquidity at the Oslo Stock Exchange," UiS Working Papers in Economics and Finance 2009/35, University of Stavanger.
  4. Ødegaard, Bernt Arne, 2009. "Who moves stock prices? Monthly evidence," UiS Working Papers in Economics and Finance 2009/4, University of Stavanger.
  5. Randi Næs & Bernt Arne Ødegaard, 2008. "Liquidity and asset pricing: Evidence on the role of investor holding period," Working Paper 2007/11, Norges Bank.

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