| dc.description.abstract | In this paper we investigate the relation between idiosyncratic volatility and
returns in the Norwegian stock market for the period 1981 – 2012. By utilizing the
methodology developed by Ang et al. (2006), we show that the internationally
documented strong performance of low volatility stocks relative to high volatility
stocks is not present in Norway. Our findings are robust for exposure to size,
liquidity, momentum and book-to-market effects. The results also hold for
different subsamples, industry exposure, variations of methodological approach
and various data filters. We conclude that there is no idiosyncratic volatility
puzzle in Norway. Our results have important implications for studies seeking to
explain the key drivers behind the idiosyncratic volatility puzzle in other markets,
as a deeper understanding of the Norwegian market could shed new light on this
literature. | no_NO |
