S&P 500 Cash Stock Price Volatilities
比较标普500指数成分股与匹配股票的波动性，发现1975-1983年间两者无显著差异，但此后标普500股票波动性相对增大，差异在统计上显著但经济上不显著，且主要体现于日收益率。
ABSTRACT S&P 500 stock return volatilities are compared to the volatilities of a matched set of stocks, after controlling for cross‐sectional differences in firm attributes known to affect volatility. No significant difference in volatility is observed between 1975 and 1983—before the start of trade in index futures and index options. Since then, S&P 500 stocks have been relatively more volatile. The difference is statistically, but not economically, significant. The relative increase occurs primarily in daily returns and only to a lesser extent in longer interval returns. Other factors besides the start of derivative trade could be responsible for the small increase in volatility.