This paper describes three new sources of data on small business finances: Bank Call Report data on small business lending, the 1995 Survey of Consumer Finances (SCF), and the 1993 National Survey of Small Business Finances (NSSBF). Each of these data sources offers publicly available micro-level data useful for examining a wide variety of issues and questions about small business finances. A number of studies which have utilized these data are cited and information on how to access these data is provided.

A number of authors have found that firm size and book-to-market-value capture the cross-sectional variation in average stock returns. More importantly, these variables have been shown to out-perform the CAPM's β coefficient in explaining the cross-section of US stock returns. However, these studies all employ variants of the two-step estimator due to Fama and MacBeth (Fama, E.F., MacBeth, J.D., 1973. Risk, return and equilibrium: Empirical tests. Journal of Political Economy 71, 607–636), which impose implicitly the restriction that idiosyncratic returns are uncorrelated. In this paper we use a one-step estimator due to McElroy et al. (McElroy, M.B., Burmeister, E., Wall, K.D., 1985. Two estimators for the APT model when factors are measured. Economics Letters 19, 271–275) and find a highly significant role for β risk in the UK stock market when we allow for correlation amongst idiosyncratic returns.