I denne rapporten analyserer vi avkastningsmønstret på Oslo Børs over perioden 1980- 2006. Formålet med rapporten er å analysere drivkreftene bak kursutviklingen i det norske aksjemarkedet. Et viktig siktemål med analysen er dessuten å undersøke i hvilken grad hovedresultatene fra...

We analyze the relationship between the long term development in liquidity at the Oslo Stock Exchange and the Norwegian economy for the period 1980 to 2007. We calculate different liquidity measures that captures various dimensions of liquidity over time and across industry groups. Overall, we...

We show evidence of a contemporaneous relation between stock market liquidity and the business cycle. Stock market liquidity worsen when the economy is slowing down, and this effect is most pronounced for small firms. Using data for both the US and Norway, we find strong evidence that stock...

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,...

This paper analyzes return patterns and determinants at the Oslo Stock Ex-change (OSE) in the period 1980{2006. We nd that a three-factor model con-taining the market, a size factor and a liquidity factor provides a reasonable t forthe cross-section of Norwegian stock returns. As expected, oil...

We document a strong relation between stock market liquidity and the businesscycle. Stock market liquidity worsens when the economy is slowing down, and thiseffect is most pronounced for small firms. Using data for both the US and Norway,we show that stock market liquidity predicts the current...

I denne rapporten analyserer vi avkastningsmønsteret på Oslo Børs over perioden 1980 - 2006. Formålet med rapporten er å analysere drivkreftene bak kursutviklingen i det norske aksjemarkedet. Et viktig siktemål med analysen er dessuten å undersøke i hvilken grad hovedresultatene fra...