Human Capital and the Private Equity Premium
Human Capital and the Private Equity Premium
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人力资本和私募股权溢价
DOI：
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发表时间：
2002
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通讯作者：
Valery Polkovnichenko
中科院分区：
文献类型：
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作者：
Valery Polkovnichenko
在资本市场不完善的情况下，企业家需要投入大量的个人资金创办企业，并承担较大的企业风险。此外，如果一个典型的企业家是风险厌恶的，私人股本应该为特殊风险赚取溢价。在本文中，我探讨了人力资本与成为企业家的决定之间的相互作用。我校准的创业选择模型来说明一个显着的衰减效果的人力资本对公司特定风险的溢价。当一个企业家可以退出企业并受雇工作时，公司特定的风险溢价比没有这种选择的情况低一个数量级。当一个企业家把相当一部分金融财富置于风险之中时，她并没有把所有的人力资本都投入到当前的业务中。在管理公司时，只有劳动收入被放弃，其余的人力资本不受商业风险的影响。经验证据表明，私募股权并没有比公开交易的股票获得任何显著的溢价。人力资本的模型与这一观察结果是一致的，假设典型的企业家放弃了一个小的预期回报（1.5%），而不是无形的创业利益。（版权所有：爱思唯尔）
When capital market is imperfect, an entrepreneur has to invest substantial personal funds to start a firm and has to bear large firm-specific risk. Furthermore, if a typical entrepreneur is risk averse, private equity should earn a premium for idiosyncratic risk. In this paper I explore the interaction of human capital with the decision to become an entrepreneur. I calibrate a model of entrepreneurial choice to illustrate a significant attenuating effect of human capital on the premium for firm-specific risk. When an entrepreneur can quit the business and work for hire, the firm-specific risk premium is order of magnitude lower than without this option. While an entrepreneur puts at risk a substantial fraction of financial wealth, she does not commit all human capital to the current business. At stake is only the labor income forgone while managing the firm and the rest of human capital is unaffected by the business risk. Empirical evidence suggests that private equity does not earn any significant premium over publicly traded equity. The model with human capital is consistent with this observation, assuming typical entrepreneur forgoes a small expected return (1.5%) in lieu of intangible benefits of entrepreneurship. (Copyright: Elsevier)