Empirics of the Oslo Stock Exchange. Descriptive
Basics
Empirics of the Oslo Stock Exchange. Basic, descriptive, results
In this paper we use data from the Oslo Stock Exchange in the period after 1980
to calculate descriptive statistics relevant for asset pricing at the OSE. We
give statistics for number of firms, new listing, dividend payments, trading
volume, and sector concentration. Returns for various market indices and
portfolios are calculated and described, including portfolios sorted on size,
book/market, momentum and beta. Construction of the Fama French and Carhart
factor portfolios using OSE data is shown. We also show the well known calendar
anomalies and the link between number of stocks in a portfolio and its
variance.
The paper as a pdf file.
The current version of the paper is from apr 2012.