TY  - JOUR
AU  - Malevergne,Yannick
AU  - Santa-Clara,Pedro
AU  - Sornette,Didier
TI  - Professor Zipf goes to Wall Street
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 15295
PY  - 2009
Y2  - August 2009
UR  - http://www.nber.org/papers/w15295
L1  - http://www.nber.org/papers/w15295.pdf
N1  - Author contact info:
Yannick Malevergne
University of Saint-Etienne
EM-Lyon Business School
Coactis – 6 Rue Basse des Rives
42023 Saint-Etienne cedex 2
France
E-Mail: ymalevergne@ethz.ch

Pedro Santa-Clara
Nova School of Business and Economics
Universidade Nova de Lisboa
Campus de Campolide
1099-032 Lisboa
PORTUGAL
Tel: +351-91-493-4313
E-Mail: pedro.santa-clara@anderson.ucla.edu

Didier Sornette
ETH Zurich
Kreuzplatz 5
Zurich
Switzerland
E-Mail: dsornette@ethz.ch
AB  - 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.
ER  -