| dc.description.abstract | In this paper we seek to investigate whether the low volatility puzzle is present in
Norwegian stock market during the period January 1980 - December 2019. By
examining the relationship of total volatility and returns and idiosyncratic volatility and
returns, we conclude that low volatility securities do not outperform high volatility
securities. Contrary, we find that investors generally are being compensated for holding
more volatile (risker) securities in line with traditional finance theory. We arrive at this
conclusion by sorting available securities into portfolios based on either total volatility
or idiosyncratic volatility using a rolling window approach. The return performances
of these portfolios are then analyzed. We explore different variations of rolling
windows and holding periods, as well as different filtration techniques. Furthermore,
the portfolios’ performances are analyzed and controlled for different factors such as
High-minus-Low (HML), Small-minus-Big (SMB), Up-minus-Down (UMD) and
Liquidity (LQD). Lastly, we explore the industry exposure in the different portfolios
and the effect this has on the respective portfolios. | en_US |
