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.