Næs, Randi; Skjeltorp, Johannes; Ødegaard, Bernt Arne - Handelshøgskolen, Universitetet i Stavanger - 2009
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,...