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?


1 Answer 1


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.


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