The largest cities, the most frequently used words, the income of the richest countries, and the most wealthy billionaires, can be all described in terms of Zipf’s Law, a rank-size rule capturing the relation between the frequency of a set of objects or events and their size. It is assumed to be one of many manifestations of an underlying power law like Pareto’s or Benford’s, but contrary to popular belief, from a distribution of, say, city sizes and a simple random sampling, one does not obtain Zipf’s law for the largest cities. This pathology is reflected in the fact that Zipf’s Law has a functional form depending on the number of events N. This requires a fundamental property of the sample distribution which we call ‘coherence’ and it corresponds to a ‘screening’ between various elements of the set. We show how it should be accounted for when fitting Zipf’s Law.

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