Abstract

https://ssrn.com/abstract=1463888
 
 

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Professor Zipf Goes to Wall Street


Yannick Malevergne


Université Paris I Panthéon-Sorbonne - Laboratoire PRISM

Pedro Santa-Clara


New University of Lisbon - Nova School of Business and Economics; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)

Didier Sornette


Swiss Finance Institute; ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)

August 2009

NBER Working Paper No. w15295

Abstract:     
The heavy-tailed distribution of firm sizes first discovered by Zipf (1949) is one of the best established empirical facts in economics. We show that it has strong implications for asset pricing. Due to the concentration of the market portfolio when the distribution of the capitalization of firms is sufficiently heavy-tailed, an additional risk factor generically appears even for very large economies. Our two-factor model is as successful empirically as the three-factor Fama-French model.

Number of Pages in PDF File: 34


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Date posted: August 31, 2009  

Suggested Citation

Malevergne, Yannick and Santa-Clara, Pedro and Sornette, Didier, Professor Zipf Goes to Wall Street (August 2009). NBER Working Paper No. w15295. Available at SSRN: https://ssrn.com/abstract=1463888

Contact Information

Yannick Malevergne (Contact Author)
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM ( email )
17 rue de la Sorbonne
Paris, 75005
France
Pedro Santa-Clara
New University of Lisbon - Nova School of Business and Economics ( email )
Lisbon
Portugal
HOME PAGE: http://docentes.fe.unl.pt/~psc/
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Centre for Economic Policy Research (CEPR) ( email )
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
Didier Sornette
Swiss Finance Institute ( email )
c/o University of Geneve
40, Bd du Pont-d'Arve
1211 Geneva, CH-6900
Switzerland

ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) ( email )
Scheuchzerstrasse 7
Zurich, ZURICH CH-8092
Switzerland
41446328917 (Phone)
41446321914 (Fax)
HOME PAGE: http://www.er.ethz.ch/
Feedback to SSRN


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