Small Business Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market
利用商业信用卡债务证券化数据，通过Merton信用模型估算小企业股权回报，发现股权溢价为10.74%，标准差为56.37%，并用投资级公司债券验证了方法有效性。
ABSTRACT We present a new approach for estimating small business equity returns. This approach applies the Merton (1974) credit model to the returns on entrepreneurial business credit card debt securitizations and solves for the implied equity returns for the small businesses owned by the cardholders. The estimated small business equity premium is 10.74%. The standard deviation of small business equity returns is 56.37%. We validate the methodology by applying it to investment‐grade corporate bonds and recovering a public equity premium of 6.17%.