齐夫教授去了华尔街

IF 2.2 3区经济学 Q2 BUSINESS, FINANCE

European Journal of Finance Pub Date : 2009-08-01 DOI:10.2139/ssrn.1458280

Yannick Malevergne, Pedro Santa-clara, D. Sornette

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引用次数: 34

摘要

由Zipf(1949)首次发现的企业规模的重尾分布是经济学中最成熟的实证事实之一。我们表明，它对资产定价有很强的影响。由于市场投资组合的集中，当公司资本的分布足够重尾时，甚至对于非常大的经济体也会出现额外的风险因素。我们的双因素模型与三因素Fama-French模型一样成功。

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Professor Zipf Goes to Wall Street

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.

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来源期刊

European Journal of Finance BUSINESS, FINANCE-

CiteScore

5.40

自引率

8.00%

发文量

期刊介绍： The European Journal of Finance publishes a full range of research into theoretical and empirical topics in finance. The emphasis is on issues that reflect European interests and concerns. The journal aims to publish work that is motivated by significant issues in the theory or practice of finance. The journal promotes communication between finance academics and practitioners by providing a vehicle for the publication of research into European issues, stimulating research in finance within Europe, encouraging the international exchange of ideas, theories and the practical application of methodologies and playing a positive role in the development of the infrastructure for finance research.