Stock Price Dynamics and Firm Size: An Empirical Investigation
发现，在控制买卖价差和交易量后，股票收益的条件未来波动率与股价水平负相关，且这种“杠杆效应”在小公司中更强；关系强度随时间变化。
We show that after controlling for the effects of bid-ask spreads and trading volume the conditional future volatility of equity returns is negatively related to the level of stock price. This "leverage effect" is stronger for small, as compared to large, firms. We also document that while the essential characteristics of the relations between stock price dynamics and firm size are stable, the strengths of the relationships appear to change over time.