In this project we propose to analyze the liquidity of the Oslo Stock Exchange from 1980 to today. Using a variety of liquidity measures
that can be calculated from relatively low frequency data, such as daily, we will show how liquidity has evolved at th e OSE in the period.
Preliminary research already show trends in liquidity seemingly related to business cycles. We next ask whether liquidity risk is priced in
the Norwegian stock market. First we will look at the crossection of stock returns, and see if liquidity is a determinant of stock returns
in the crossection. Preliminary research show evidence of such effects. Next we will investigate whether liquidity is a systematic risk
factor, in particular relating it to the business cycle movements we have identified in our preliminary studies. The end result of our study
will be the first comprehensive academic investigation of liquidity at the Oslo Stock Exchange, and answers as to whether liquidity matters for
asset prices at the Oslo Stock Exchange. A s a byproduct this research project will give estimates of the cost of trading equity at the Oslo
Stock Exchange. Several of the liquidity estimates we will calculate have direct interpretations in terms of trading costs. They will
therefore provide a bas is for judgement of the trading costs at the OSE using measures that can be easily compared to other markets.