The empirical distribution of firms' market capitalizations is shown to be in excellent agreement with a very skewed lognormal distribution: the largest firms are about 1000 times larger than the median firm. Can this skewed size distribution be consistent with mean-variance portfolio...

The average after-tax real interest rate on U.S. T-bills and the average rate of return on long-term government bonds (LTGB) have been negative over the last 75 years. Is this negative rate an equilibrium phenomenon or simply an empirical fluke? We show that a negative equilibrium interest rate...

Disagreement is a key factor inducing trading, which has been receiving ever-increasing attention in recent years. Most research has focused on disagreement about the expected returns. Several authors have shown that if the average belief coincides with the true expected return in the portfolio...

We present a non-conventional approach for studying the distribution of wealth in society. We analyze data from the 1996 Forbes 400 list of the richest people in the US. Our results confirm that wealth is distributed according to a power law. The measured exponent of the power-law is 1.36. As...

The LLS stock market model is a model of heterogeneous quasi-rational investors operating in a complex environment about which they have incomplete information. We review the main features of this model and several of its extensions. We study the effects of investor heterogeneity and show that...

We investigate the properties of mean-variance efficient portfolios when the number of assets is large. We show analytically and empirically that the proportion of assets held short converges to 50% as the number of assets grows, and the investment proportions are extreme, with several assets...