This paper examines the association between idiosyncratic volatility and stock returns in the MILA from 2001 to 2014. Based on portfolio strategies that rely on one- or two-way sorts, we find that idiosyncratic risk is not a predictor of returns in the whole period or during high or low volatility months in the integrated market. We confirm the lack of an idiosyncratic volatility effect in a multivariate setting conducting errors-in-variables-free panel regressions. Overall, unsystematic risk is not a priced factor in the MILA, in line with predictions of several pricing models and recent literature in the U.S. market.