dc.contributor.author | Huskic, Belma | |
dc.contributor.author | Bakøy, Maiken Persdatter | |
dc.date.accessioned | 2018-02-08T12:15:12Z | |
dc.date.available | 2018-02-08T12:15:12Z | |
dc.date.issued | 2017 | |
dc.identifier.uri | http://hdl.handle.net/11250/2483506 | |
dc.description | Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2017 | nb_NO |
dc.description.abstract | In this thesis, we find that the low-volatility anomaly is present on Oslo Stock
Exchange in the period 1990 to 2016. The study is performed using a filtered sample
of 628 securities, sorted by idiosyncratic volatility on daily returns into quintile
portfolios with a holding period of one month. The portfolios are value- and equally
weighted, both leading to the same conclusion. The performance evaluation is based
on returns, the sign and significance of the alphas, and the Sharpe ratios. We find
that the low-volatility portfolio outperforms the high-volatility portfolio, and that
performance decreases monotonically with increased risk. Thus we conclude that
there exists a low-volatility anomaly on the Norwegian stock market. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | BI Norwegian Business School | nb_NO |
dc.subject | finans | nb_NO |
dc.subject | finance | nb_NO |
dc.title | The low-volatility anomaly in the Norwegian stock market | nb_NO |
dc.type | Master thesis | nb_NO |