The Low Volatility Anomaly on Oslo Stock Exchange

Abstract

This is our final thesis for the study MSc in Business with major in finance. Our topic is within the field of asset pricing, where we want to explore if the low volatility anomaly is present in the Norwegian stock market in the time period 1995-2017. We find the low volatility anomaly to be present on Oslo Stock Exchange as the low-volatile portfolios outperform the high-volatile portfolios on all performance measures. The anomaly is robust for different pricing-models and proxies for risk. Our conclusion is that the low volatility anomaly is present on Oslo Stock Exchange.