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研究生:陳一飛
研究生(外文):Ei-Fei Chen
論文名稱:高階經理人認股選擇權條款之研究--重設條款,凍結期間
論文名稱(外文):The Clauses of Executive Stock Option--Resetting and Vesting Period
指導教授:張傳章張傳章引用關係
指導教授(外文):Chuang-Chang Chang professor
學位類別:碩士
校院名稱:國立中央大學
系所名稱:財務金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:英文
論文頁數:48
中文關鍵詞:員工認股選擇權凍結期間重設條款實質選擇權經理人認股選擇權
外文關鍵詞:employee stock optionvesting periodresstingexecutive stock optionreal option
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摘要
根據先前學者們所做的研究,發現ESO合約的設計包含著許多條款,所以相當複雜。但根據我再進一步研究發現大多數的文獻都只是探討其中一項單獨條款的性質,卻甚少討論多種條款結合,這種討論模式與實際的合約設計出入頗大,因此我變嘗試著一次將兩個條款結合在一起討論,試圖探討期性質的交互影響與變化。另一方面我發現過去學者再討論ESO評價時,所採取的是固定無風險利率的假設,然而我們所觀察到的ESO都是相當的長期,因此在此一長期合約下假設固定無風險利率,似乎不太適合,因此我便引入一隨機利率,以求符合常理,同時觀看其變化。
根據模擬結果,我發現凍結期間條款只有在某些特定的情況下,才會有攸關,例如無股利模型,同時,我也發現風險偏好的假設對於ESO的評價是很重要的且攸關的。除此之外,我們也可以看到雖然引入隨機利率,並不會改變條款的基本性質,但卻對價值的衡量影響頗大,因此在設計如此長期的合約時,不得不考慮利率的影響,從激勵效果來看,我發現重設條款依然不具有額外的激勵效果,即使加入了凍結期間條款。


Abstract
According to previous published literatures, I have learned that the construction of ESO is very complicated which includes amounts of clauses. As I surveyed a number of literatures, I find that most of them discussed effects of single clause on ESO. It doesn’t meet the real construction of ESO, which consists of many clauses in practice. As a result I try to get two clauses, reset feature, vesting period, together to discuss their interactions with each other. In addition I find that the life of ESO is always long-term in practice. In spite of such characteristics, previous scholars still assumed constant interest rate along option life. I think the assumption may be not appropriate in such a long run period. In this way I try to employ a stochastic rate process in my work to see if what I get is different from what is in constant rate.
In reference to previous paragraphs, I have reached some interesting conclusions. Vesting period is relevant in certain cases. For example in non-dividend model under risk neutral vesting is useless but significant under risk averse. It implies that the risk preference of managers is relevant in designing ESO. In addition I try to impose stochastic rate process on valuation of ESO first ever. Although the characteristics of clauses are always the same under each condition, the estimated value of ESO is substantially different in constant rate and stochastic rate(Appendix). It is clear to say that assumption of interest rate could distort value of ESO substantially. Furthermore I find resetting has no extra incentive to stimulate enhancing stock price by means of delta ratio. This finding is consistent with literatures referring to resetting, however, it is still an important tool to restore incentives of management in downturn market. From now on we have learned that each clause has its own economic meanings to ESO contract. If we have many specific clauses in one contract, our analyses of such a contract should account for every possible situations to make the construction of ESO contract more attractive to management.


Abstract……………………………………………………………………...Ⅰ
Contents………………………………………………………………….…..Ⅲ
List of Figures…………………………………………………………….…Ⅴ
List of Tables……………………………………………………………..….Ⅵ
1、Introduction……………………………………………………………....1
2、Literature Review………………………………………………………...4
3、Methodology……………………………………………………………...7
4、Simulation Results Under Risk Neutral…………………………………10
4-1. Constant ate
4-1-1. Cash dividend Model……………………………………………………10
4-1-2. Non-dividend Model…………………………………………………….13
4-1-3. Stock dividend Model…………………………………………………...16
4-1-4. Delta Comparisons……………………………………………………...19
4-2 Stochastic Rate
4-2-1. Non-dividend Model…………………………………………………….22
4-2-2. Stock dividend Model…………………………………………………...23
4-2-3. Delta Comparisons……………………………………………………...26
5、Simulation Results Under Risk Preference……………………………..28
5-1. Constant Rate
5-1-1. Non-dividend Model…………………………………………………….28
5-1-2. Stock dividend Model…………………………………………………...30
5-1-3. Delta Comparisons……………………………………………………...32
5-2. Stochastic Rate
5-2-1. Non-dividend Model…………………………………………………….34
5-2-2. Stock dividend Model…………………………………………………...35
5-2-3. Delta Comparisons……………………………………………………...36
6、Conclusions………………………………………………………..……38
7、Reference…………………………...…………………………………...39
8、Appendix……………………………………………………..…………40


Acharya Viral V., John Kose,Sundaram Rangarajan K.,2000,〝On the optimality of resetting executive stock options〞,Journal of Financial Economics,June,Page 65~101.Brenner, Menachem,Sundaram, Rangarajan K,Yermack, David,2000〝Altering the terms of executive stock options〞,Journal of Financial Economics,June,Page 103~128.Chance, Don M.; Kumar, Raman; Todd, Rebecca B,2000,〝The `repricing’ of executive stock options〞,Journal of Financial Economics,June,Page 129~154.Charles J. Corrado,Bradford D. Jordan,Thomas W. Miller Jr.,John J. Stansfield,2001,〝Repricing and employee stock option valuation〞,,Journal of Banking & Finance,June,Page 1059~1082.Chen, R. and R. Scott ,1992, 'Pricing Interest Rate Options in a Two-Factor Cox-Ingersoll-Ross Model of Term Structure,' Review of Financial Studies, 1209-1227.Chung-Gee Lin,2001,〝Monte Carlo Simulation Approach: Applications for Pricing Financial Derivatives〞,National Central University.Hsinan Hsu,Emily Ho,1999,〝The Valuation of Taiwanese Reset Warrants: A Monte Carlo Approach〞,National Cheng Kung University Tainan, Taiwan.Harley E. Ryan Jr.,Roy A. Wiggins Ⅲ,2001,〝The influence of firm- and manager-specific characteristics on the structure of executive compensation〞,Journal of Corporate Finance,June,Page 101~123.Mary Ellen Carter,Luann J. Lynch,2000,〝An Examination of Executive Stock Option Repricing〞,June.Nalin Kulatilaka,Alan J. Marcus,1994,〝Valuing Employee Stock options〞, Financial Analysts Journal,November,Page 46~56.Shane A. Johnson,Yisong S. Tian,2000,〝The value and incentive effects of nontraditional executive stock option plans〞, Journal of Financial Economics,June,Page 3~34.

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