當所有權與經營權分離便會產生代理問題，高階經理人股票選擇權為目前改善代理衝突中最為盛行的激勵工具，故如何決定股票選擇權的價值變得相當重要。在高階經理人股票選擇權價值的衡量方面，幾乎所有公司 (98%) 皆採用Black-Scholes的公式來評估股票選擇權的價值(Murphy, 1993)。但由於高階經理人股票選擇權之性質與一般交易的股票選擇權有所差異，所以單純使用簡易的Black-Scholes公式計算的高階經理人選權價值可能會有所偏誤。故本研究希望藉由比較Black-Schloles、Merton及Ingersoll三種股票選擇權評價模型在實證運用上的表現，找出當中最能與現實情況相符的評價模式。
本文的實證結果發現：(1) 高階經理人薪酬水準與公司股票報酬率、成長機會、高階經理人持股比率及年資呈正相關；(2) 在風險承擔實證研究中以Ingersoll評價模型表現最佳。高階經理人風險承擔與企業經營績效及選擇權價值呈正相關，但與高階經理人之年資與年齡呈負相關；(3) 企業投資水準與高階經理人風險承擔、可支配現金流量、公司成長機會呈正相關；但與財務槓桿、股利發放呈負相關；(4) 在企業經營績效實證研究中以Ingersoll評價模型表現最佳。高階經理人企業經營績效與薪酬-績效敏感度、股票選擇權價值、企業投資水準及高階經理人風險忍受度呈正相關，但與股利發放及市場佔有率呈負相關；(5) 在股票選擇權價值實證研究中以Ingersoll評價模型表現最佳。股票選擇權價值與企業經營績效、公司風險、公司成長機會及經理人風險承擔呈正相關，但與股利發放負相關。
關鍵字：高階經理人風險承擔、高階經理人薪酬水準、股票選擇權、企業投資水準、企業經營績效

The seperation of ownership and management results in “Agency Problem ” , executive stock option seems to be the most popular instrument for addressing the agency problem nowadays. How to determine the value of executive stock option is therefore becoming very important. The Black-Scholes formula is the most common approach used for evaluating stock options and almost all companies adopt it to calculate the value of executive stock options. However, as the executive stock options are different from the freely tradable stock options in many aspects, the calculated value by the Black-Scholes formula may be inaccurate. The main purposes of this thesis aim to compare the value of executive stock option derived from the Black-Scholes, Merton and Ingersoll Models, and determine which model best watches with the reality.
The evidence shows that: (1) The executive’s compensation is positively related to companies’ return, growth opportunities, the percentage executives’ shareholding and their tenure. (2) The Ingersoll model is best model in terms of valuing the executive’s risk-taking. The executives’ risk-taking is positively related to the firm’s performance, and the value of stock option, but negatively related to the executive’s age and tenure. (3) The firm’s investment level is positively related to the executive’s risk-taking, free cash flow and growth opportunity of the firms, but negatively related to the financial leverage and dividend payout. (4) In the Ingersoll model, firms’ performance is positively related to the degree of pay-performance sensitivity, the value of stock option, firms’ investment level and the extent of executive’s risk-taking, but negatively related to firms’ dividend payout and market share. (5) The Ingersoll model is the most sensible approach in the search of the value of stock option. The value of stock option is positively related to the firms’ performance, the firms’ risk, the growth opportunities and the extent of executive’s risk-taking, but negatively related to dividend payout.
Keywords: Executive Risk-Taking, Compensation, Executive Stock Option, Investment , Firm Performance

目 錄
中文摘要………………………………………………………………Ⅰ
英文摘要………………………………………………………………Ⅲ
表目次…………………………………………………………………Ⅵ
圖目次…………………………………………………………………Ⅶ
第一章 緒論
第一節 研究動機…………………………………………………… 1
第二節 研究目的…………………………………………………… 4
第三節 論文架構…………………………………………………… 5
第二章 文獻探討
第一節 代理問題與股票選擇權相關文獻…………………………7
第二節 股票選擇權激勵、風險承擔及經營績效相關文獻………15
第三節 股票選擇權評價與價值之相關文獻………………………20
第四節 小結 ……………………………………………………… 25
第三章 研究方法
第一節 研究假說……………………………………………………33
第二節 資料來源與選取……………………………………………38
第三節 實證模型……………………………………………………40
第四節 變數定義……………………………………………………44
第四章 實證結果與分析
第一節 薪酬水準之模型探討………………………………………50
第二節 風險承擔與股票選擇權之模型探討………………………56
第三節 企業投資水準之模型探討…………………………………67
第四節 企業經營績效之模型探討…………………………………72
第五節 股票選擇權價值之模型探討………………………………82
第六節 總結…………………………………………………………92
第五章 結論與建議
第一節 研究結論……………………………………………………97
第二節 研究限制與未來研究方向…………………………………100
參考文獻…………………………………………………………… 102

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