Small Business Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market

• 成果类型: Article
• 署名作者: Fleckenstein, Matthias; Longstaff, Francisa A.
• 署名单位: University of Delaware; University of California System; University of California Los Angeles; National Bureau of Economic Research; University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13200
• 发表日期: 2023
• 页码: 389-425
• 关键词: cross-section; INVESTMENTS EVIDENCE; capital structure; Expected returns; default risk; distress; puzzle; COSTS; STOCK; debt

摘要

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%.