The devil dwells in the tails A quantile regression approach to firm growth

This paper explores firm growth rate distribution in a Gibrat’s Law context. It is novel in two respects. First, rather than limiting the analysis to a focus on the conditional mean, we investigate the entire shape of the distribution. Second, we show that differences in the firm growth rate process between large and small firms are highly circumstantial and depend on the industry dynamics. The data used include more than 9,000 Danish manufacturing, services and construction firms. We provide robust evidence indicating that firm growth studies should concentrate less on explaining means and instead focus on other parts of the firm growth rate distribution. T. Reichstein (B) Department of Innovation and Organizational Economics, DRUID, Copenhagen Business School, Kilevej 14A, 2000 Frederiksberg, Denmark e-mail: [email protected] T. Reichstein CEREBEM, BEM Bordeaux Management School, Talence, France M. S. Dahl Department of Business Studies, DRUID, Aalborg University, Aalborg, Denmark e-mail: [email protected] B. Ebersberger Management Center Innsbruck (MCI), Innsbruck, Austria e-mail: [email protected] M. B. Jensen Department of Marketing and Statistics, Aarhus School of Business, Aarhus, Denmark e-mail: [email protected] T. Reichstein et al.