Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/209940 
Year of Publication: 
2009
Series/Report no.: 
Working Paper No. 2009/24
Publisher: 
Norges Bank, Oslo
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.
Subjects: 
stock market valuation
asset pricing
factor models
generalized method of moments
JEL: 
G12
E44
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-530-4
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper
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