Browsing Master Thesis by Author "Økland, Sturle Råheim"
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A five factor approach to the low volatility anomaly : an empirical study of the Norwegian stock market
Rogdeberg, Paal Brimsø; Økland, Sturle Råheim (Master thesis, 2018)In this thesis, we construct the Fama-French five-factor model (2015a) for the Norwegian stock market in order to examine the existence of the low volatility anomaly. We estimate risk as idiosyncratic volatility relative ...