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Professor Zipf goes to Wall Street / Yannick Malevergne, Pedro Santa-Clara, Didier Sornette.
- Format:
- Book
- Author/Creator:
- Malevergne, Yannick.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w15295.
- NBER working paper series no. w15295
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2009.
- Summary:
- 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.
- Notes:
- Print version record
- August 2009.
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