Malevergne, Yannick; Santa-Clara, Pedro; Sornette, Didier - National Bureau of Economic Research (NBER) - 2009
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...