| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15295 |
| 来源ID | Working Paper 15295 |
| Professor Zipf goes to Wall Street | |
| Yannick Malevergne; Pedro Santa-Clara; Didier Sornette | |
| 发表日期 | 2009-08-27 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w15295 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572970 |
| 推荐引用方式 GB/T 7714 | Yannick Malevergne,Pedro Santa-Clara,Didier Sornette. Professor Zipf goes to Wall Street. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15295.pdf（205KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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