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研究生:吳蕚清
研究生(外文):E-Ching Wu
論文名稱:存款保險及經理人股票選擇權之風險行為研究
論文名稱(外文):Risk-Taking Behavior in Deposit Insurance and Executive Stock Options
學位類別:博士
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
畢業學年度:95
語文別:英文
論文頁數:68
中文關鍵詞:代理問題經理人選擇權選擇權評價道德風險保險費率存款保險自願加保
外文關鍵詞:Insurance premiumOption valuationDeposit insuranceMoral hazardAgency problemRepriceable optionsExecutive stock options
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本論文主要探討在存款保險機制下,存款保險費率設定對銀行風險行為之影響;以及配發經理人股票選擇權時,對經理人風險行為之影響。
全文分為二部份:第一部分是在自願加保存款保險制度下,先以單一費率(flat-rate premium)之存款保險機制,來探討存保費率設定對銀行風險行為之誘因為何?我們得出以下之結論:一、完全消除銀行風險行為之誘因,可能不是社會最適化之狀態,而參加存款保險會誘使銀行增加風險行為;二、強制納保可達到預算平衡以及社會福利最大之目標,因此強制納保制優於自願加保制。最後,我們以多元費率(risk-based premium)之存款保險機制來探討費率設定對銀行風險行為與社會福利之影響,結果發現多元存保費率制可改善存保機構預算以及減緩銀行道德風險行為,並維持高度之社會福利水準。
第二部份為提出一多期可能重定執行價格模型,並考量經理人之離職可能性、風險行為、以及提前執行選擇權等因素,重新評價經理人股票選擇權,並進而討論經理人股票選擇權之誘因效果。結果顯示,在不考量經理人之離職可能時,重定價選擇權具挽留經理人之效果。但若考量經理人離職時,重定價選擇權會誘使經理人離職及提前執行其選擇權。此外,重定價選擇權亦會誘使經理人從事風險行為,但其風險誘因效果較傳統選擇權為弱,其原因應是多期重定價之機制,造成選擇權提前執行可能性增加,進而使得重定價選擇權之風險誘因效果被削弱。最後,本文亦發現放鬆重定價條件會使重定價選擇權價格增加。
This dissertation includes two essays: the first essay discusses the impacts of the deposit insurance premium setting upon the bank’s risk-taking behavior; the second essay examines the influences of the executive’s risk-taking behavior upon the incentive alignment functions in the executive stock options (ESOs).
The fist essay analyzes the effect of premium rates on banks'' incentives to join a deposit insurance scheme and their incentives to invest in risky projects under a voluntary deposit insurance scheme. We find that in order to maximize social welfare, the insurance agency must either set the premium rate to be low so as to attract all banks to join the insurance scheme, or not to have the deposit insurance at all. However, the low premium rate in the voluntary scheme does not balance the budget of the deposit insurance. We also show that in the compulsory deposit insurance scheme, however, it is possible to impose an optimal premium rate that can balance the insurance agency''s budget and achieve the highest social welfare. The results also present the dominance of the compulsory scheme over the voluntary scheme in terms of maximizing social welfare and balancing the budget.
The second essay proposes a multi-repriceable model, which takes into consideration the departure, risk-taking behavior and early exercise on the part of the executive, to price the executive stock options (ESOs). We build a model with performance-based departure and a repricing mechanism, which differs from the previous setting in other works. We find that the repriceable ESOs value is greater than that in the typical ESOs grant without considering the executive''s departure. This result asserts that the executive retention function of repriceable ESOs is a valid practice. However, when considering the executive''s departure, the repriceable option gives the executive incentives to depart from his company and to exercise his ESOs earlier. Furthermore, the repriceable option also gives the executive an incentive to take risk, and the incentive to take risk in repriceable ESOs is weaker than that in typical ESOs. This result is distinct from the findings in former studies. This outcome may arise from the multi-repriceable mechanism, which results in the executive''s early exercise so as to counteract the risk-taking effect in the repriceable ESOs. We also find that the effect of relaxing the repricing term on the repriceable ESOs'' value is positive.
Essay I: Premium Setting and Bank Behavior in a Voluntary Deposit Insurance Scheme
Abstract ................................. 1
1. Introduction............................ 2
2. The Model................................3
3. Perfect Equilibria.......................8
4. Compulsory Deposit Insurance and Optimal Premium Rate.......14
5. Risk-Based Premiums......................15
6. Conclusions..............................16
APPENDIX A..................................18
APPENDIX B..................................22
APPENDIX C..................................24
REFERENCES..................................27
Essay Ⅱ: Pricing Executive Stock Options with Departures and Risk-Taking Behavior
Abstract....................................33
1. Introduction.............................34
2. A model for the executive stock options.....37
2.1 The dynamics of the firm''s stock price...39
2.2 The dynamics of the industry''s index ....40
2.3 Repricing the executive stock option ....40
2.4 The termination conditions from the executive''s departure.....41
2.4.1 During the ESOs'' vesting period .....42
2.4.2 After the vesting period.............42
2.5 The risk-taking behavior of the executive ...43
2.6 The value of the executive stock option .....44
3. Numerical analysis..............................45
3.1 Parameter values..........................45
3.2 The value of executive stock options .....46
4. Conclusions.....................................51
REFERENCES.........................................53
Essay 1
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Buser, Stephen A., Andrew H. Chen, and Edward J. Kane. "Federal Deposit Insurance Regulatory Policy and Optimal Bank Capital." Journal of Finance 36, 1981, 51-60.
Diamond, Douglas W. and Philip H. Dybvig. "Bank Runs, Deposit Insurance, and Liquidity." Journal of Political Economy 91, 1983, 401-19.
Duan, Jin Chuan and Min-Teh Yu. "Forbearance and Pricing Deposit Insurance In a Multiperiod Framework," Journal of Risk and Insurance 61, 1994, 575-91.
Duan, Jin Chuan and Min-Teh Yu. "Capital Standard, Forbearance and Deposit Insurance Pricing under GARCH." Journal of Banking and Finance 23, 1999, 1691-1706.
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Green, Edward J. and Ping Lin. "Diamond and Dybvig''s Class Theory of Financial Intermediation: What''s Missing?" Quarterly Review, Federal Reserve Bank of Minneapolis winter, 2000, 3-13.
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Jacklin, Charles J. and Sudipto Bhattacharya. "Distinguishing Panics and Information-based Bank Runs: Welfare and Policy Implications." Journal of Political Economy 96, 1988, 568-92.
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Essay 2
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Brenner Menachem, Rangarajan K. Sundaram and David Yermack. "Altering the Terms of Executive Stock Options." Journal of Financial Economics 57, 2000, 103-28.
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Johnson, Shane A. and Yisong S. Tian. "The Value and Incentive Effects of Nontraditional Executive Stock Option Plans." Journal of Financial Economics 57, 2000, 3-34.
Johnson, Shane A. and Yisong S. Tian. "Indexed Executive Stock Options." Journal of Financial Economics 57, 2000b, 35-64.
Kato, Takao. and Cheryl Long, "CEO Turnover, Firm Performance, and Enterprise Reform in China: Evidence from Micro Data." Journal of Comparative Economics 34, 2006, 796-817.
McEvoy, Glenn M. and Wayne F. Cascio. "Do Good or Poor Performers Leave? A Meta-Analysis of the Relationship between Performance and Turnover." Academy of Management Journal 30, 1987, 744-62.
Puffer, Sheila M. and Joseph B. Weintrop. "Corporate Performance and CEO Turnover: The Role of Performance Expectations." Administrative Science Quarterly 36, 1991, 1-19.
Rajgopal, Shivaram and Terry Shevlin. "Empirical Evidence on the Relation between Stock Option Compensation and Risk Taking." Journal of Accounting and Economics 33, 2002, 145-171.
Rogers, Daniel A. "Does Executive Portfolio Structure Affect Risk Management? CEO Risk-Taking Incentives and Corporate Derivatives Usage." Journal of Banking and Finance 26, 2002, 271-95.
Saly, P. Jane. "Repricing Executive Stock Options in a Down Market." Journal of Accounting and Economics 18, 1994, 325-56.
Sanders, Wm. Gerard. "Behavioral Responses of CEOs to Stock Ownership and Stock Option Pay." Academy of Management Journal 44, 2001, 477-92.
Williams, Melissa A. and Ramesh P. Rao. "CEO Stock Option and Equity Risk Incentives", Journal of Business Finance and Accounting 33, 2006, 26-44.
Wiseman, Robert M. and Philip Bromiley. "Toward a Model of Risk in Declining Organizations: An Empirical Examination of Risk, Performance and Decline", Organization Science 7, 1996, 524-43.
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