Global evidence on the distribution of firm growth rates

• We use global data to examine empirically the distribution of firm growth rates.
• We use the data to test eight theoretical distributions with EDF statistics.
• The consensus finding in the literature supports the Laplace distribution.
• We find firm growth rates are best fit by the heavier-tailed Cauchy distribution.

The consensus finding in the literature is that the distribution of firm growth rates is best approximated by the Laplace distribution, a particular case of the Subbotin, or exponential power, family of probability distributions. Using a richer database than prior studies and testing for more theoretical distributions, we find that the distribution of firm growth rates is best approximated by the heavier-tailed Cauchy distribution.