I read that small cap stocks are more volatile than large cap stocks. Now I am looking for sources (e.g research papers or similiar) with empirical evidence for this proposition but I can't find any (maybe I am not searching correctly, but I come from a more mathematical background so bear with me). Can anyone give some papers or some hints what and where to search?
If you compute the standard deviation of returns (wich is the common measure of volatility) of small-caps stocks vs. large-cap stocks. Small caps stocks usually show a higher volatility of price returns.
If you go to morningstar.com, search for SPY (S&P 500, large cap ETF) you'll see an annual standard deviation of around 10%. In comparaison, IWM (Russell 2000, Small Cap ETF) have a standard deviation of around 14%.
You don't need a research paper to prove this.