隨著2007年底金融海嘯過後，不少公司為了留住具有才能的員工又基於成本的考量之下而發放了大量的經理人股票選擇權(executive stock option, ESO)給高階經理人，而相關報導指出海嘯後金融業之經理人所獲得的ESO，隨著股市回春後獲取相當龐大之利益，然而這樣的結果與公司發放ESO所欲解決代理問題的目的並不太一致，因而引起我們探討ESO的功能性。此外，相關文獻亦指出各種產業對ESO發放的偏好並不相同，因此我們懷疑ESO所提供的誘因機制是否會隨著各產業特徵的不同而有所差異。本文透過統計及蒙地卡羅數值模擬法評價各產業的ESO並利用delta及vega此二指標，探究各產業間ESO的誘因效果。
數值分析發現，電子產業的ESO所提供之誘因效果最低，而具有相同產業特徵的新興能源產業所發放的ESO之誘因效果最大。此外，透過數值分析的結果亦得知電子產業偏好發放ESO的主要原因是在於該產業發放的成本低，並非該產業提供較高的誘因效果。另外一方面，較受政府管制的金融業以及不發放ESO的公營事業，ESO一樣具備誘因效果，其中金融業有提高股價的誘因，卻沒有辦法提高經理人風險行為，這與文獻的結果一致。

In order to retain the talent managers and cut down the cost of hiring, many companies granted lots ESOs to managers during financial crisis in 2008. As associated press reported, many managers get large benefits from their granted ESOs in the recovery of economy during recent years. This study’s primary objective is to examine the incentive alignment functions of ESO among different industries. We employ the monte-carlo simulation method to value ESO price, and calculate the Greek letter, delta and vega, to inspect the incentive alignment functions of ESO.
From the simulation results, we find that the incentive aligned effect of ESO in the electronic industry, which prefers to issue ESO, is lowest among the industries studied. In addition, the strongest incentive effect of ESO is appeared in the energy industry. The difference of the alignment functions of ESO among different industries arises from their idiosyncratic characteristics. We also find the ESO granted in finance industry possesses incentive function to increase stock price, while not to increase the manager’s risk-taking behavior. This result is consistent with the finding in other literatures. Besides, we find another interesting outcome that the ESO granted in public industry, which never issue it, also owns some incentive aligned ability to alleviate the agency problem.

摘要 I
Abstract II
謝誌 III
目錄 IV
表目錄 V
圖目錄 VI
第一章 緒論 1
第一節 研究動機與背景 1
第二節 研究目的 3
第三節 研究架構與流程 4
第二章 文獻回顧 5
第三章 數值模擬方法 10
第一節 資料特性 10
第二節 模型設定 12
第四章 數值分析 17
第一節 ESO的價值 17
第二節 提升股價之誘因效果 21
第三節 經理人風險行為 25
第五章 結論 30
第一節 結果 30
第二節 限制與建議 31
參考文獻 33


表目錄
表3-1 各產業之參數值……………………………………………………………. 11
表4-1 模擬之各產業之參數值……………………………………………………..19
表4-2 各產業的不同到期期限之ESO價值……………………………………….20
表4-3 各產業ESO提升股價的誘因效果…………………………………………. 23
表4-4 各產業ESO提升股價的誘因效果…………………………………………..28
表5-1 各產業誘因效果之排序…………………………………………………..31


圖目錄

圖4-1 各產業到期日七年期ESO之delta值折線圖……………………………. 24
圖4-2 各產業到期日十年期ESO之delta值折線圖……………………………. 24
圖4-3 各產業到期日七年ESO之vega值折線圖…………………………………29
圖4-4 各產業到期日十年ESO之vega值折線圖………………………………….29

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