Before revision:  We investigate the relationship of this result with the stocks' capitalization and we show that a linear dependence from the logarithm of the capitalization  does not explain the observed stylized fact  .
After revision:  We investigate the relationship of this result with the stocks' capitalization and on the kurtosis of stocks' log-returns in order to search for possible confounding effects. We show that a linear dependence from the logarithm of the capitalization does not explain the observed stylized fact .