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標題: 高階經理人股票選擇權獎酬之評價與風險效果
Valuing and risk effect of Executive Stock Option Compensation
作者: 林宜勉
關鍵字: 應用研究;Stock option;財政(含金融,保險);股票選擇權;風險規避;Black-Scholes 模型;公司風險;市場風險;Risk aversion;Black-Scholes model;Firm-specific risk;Market risk
Noreen and Wolfson (1981) 即主張Black-Scholes 的模型有可能會高估經理人股票選擇權的價值,因為經理人股票選擇權是由於受雇而獲得,且無法自由交易,而模型中股票報酬變異為常數的假設,更容易因為經理人的行動而被違反。Hill and Phan (1991) 指出 Black-Scholes 公式中參數的估計太簡略,可能造成模型求出的選擇權價值有所偏誤。因此,傳統的選擇權評價方式必須要有所調整才能運用於高階經理人股票選擇權的計算,單純按照Black–Scholes 模式所算出的價值太過於簡陋,沒有考慮到許多影響選擇權價值之因素。本計畫擬擴展Hemmer, Kim and Verrecchia (2000) 的兩期模型為為連續時間模型,模式中擬假設高階經理人為風險規避者,在考慮高階經理人的風險態度、股利與稅率因素下,導出高階經理人效用極大化之連續時間型態的股票選擇權薪酬價值,期望能提供給投資界與會計界的股票選擇權計價依據。同時,股東財富的極大化需要高階經理人願意承擔風險,但風險可能會降低高階經理人的薪酬與選擇權價值。因此,本研究將對導出的評價模型進一步做比較靜態分析,以探討股票波動性、公司特定風險和市場風險對經理人股票選擇權價值的影響。由於股票選擇權帶來偌大的誘人利益,在美國股票選擇權在高階經理人獎酬計畫中確實扮演著無可取代的重要角色,而國內股票選擇權的使用尚在起步階段。為了檢視所推導的模式結果是否與實際資本市場一致,本研究將藉由所推導的模式結果進一步發展實證模式,並利用台灣與美國資本市場的實際資料去驗證,期能驗證本研究導出的股票選擇權評價模型與Black-Scholes 模型,何者可獲得股票選擇權的不偏估計值,以及何者較能適當地反應高階經理人之風險忍受度(指風險偏好)。此外,本研究亦將驗證標的股票價格變異、公司風險、市場風險和公司股利政策對經理人股票選擇權價值的影響是否如比較靜態的結果。另一方面,股東財富極大化需要高階經理人願意承擔風險,但風險可能會降低高階經理人薪酬,減少股票選擇權價值,甚至可能因而被解雇,故本文除了將探討可能影響高階經理人風險忍受度的原因,以及使用聯立方程式方法來檢驗經理人股票選擇權價值與高階經理人風險忍受度之相互關係。

Although the cost to the firm of stock based compensation can be reasonablyapproximated by it』s market value, this is not a good estimate of the value that is transferredto the executive receiving the options. Early models to value executive stock options usedthe Black Scholes model, and much of the empirical research in this area adopts BlackScholes values as standard. It has been found that the cost of the compensation to the firm(market value) overstates the value. For example, Huddart (1994) and Hall and Murphy(2002). However, these models cannot examine the risks faced by the executive self.This study will propose a utility maximization model to value stock and optioncompensation by allowing the executive to trade in the market portfolio. The model willextend the two-period model of Hemmer, Kim and Verrecchia (2000) to continuous timeutility model and assume that executive is risk averse. I will derive the executive stockoption valuation model under considering risk attitude of the executive, dividend, and taxeffect. Meanwhile, the maximization of stockholders wealth depends primarily on the riskpreferences parameter and the risk perhaps reduces the value of the options to the executive.Hence, this study will perform comparable static analysis for the results of model, todemonstrate the effect of stock return volatility, firm-specific risk, market risk, and dividendon the stock options value to the executive.The empirical study of this project will examine whether the economic intuitions ofmodel results are consistent with true capital market by using the United States and Taiwancapital market data. Therefore, another purpose of this project is to explore and to provideempirically testable predictions about the use convex components in contracts designed ofBlack-Scholes model. I hope to investigate which of the two models, our model andBlack-Scholes model, which can find unbiased estimator of stock options, and which canreasonable reflect the risk preference of the executive. Moreover, I will use the empiricaldata to examine the results of compare static analysis about derived model. The interestingquestion raised by this analysis is whether stock options value can be empirically related to considerations involving tax and dividend.Theory suggests that information asymmetries play a role in the design of incentivecontracts. When the executives are privately informed about the profitability of investments,incentive-based contracts are useful even if the employees』 actions are observed. Inparticular, the convex shape of option contracts motivates the executives to tailor theaggressiveness of their investment as a function of how profitable their private informationindicates the investment will be. This study also analyzes the influence factors for riskpreference of the executive. Since the executive is risk averse, this unhedgeable firm riskwill lead them to place less value on the options than their cost to the company. Hence, wewill adopt a simultaneous equations model to link executive stock option, risk preferenceand contemporaneous stock returns.
其他識別: NSC93-2416-H005-014
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