臺灣博碩士論文加值系統

在過去討論風險的誘因效果時，大多數的研究都只專注於總風險改變對於員工認股權證價值的影響。這是因為以Black-Scholes模型評價員工認股權證價值時，只有總風險改變會造成員工認股權證價值的改變。系統性風險與公司個別的風險的大小並不會影響員工認股權證的價值。在此篇研究中，將把系統性風險導入GARCH模型中，利用GARCH選擇權評價模型評價員工認股權證價值，以分析系統性風險對於持有員工認股權證的經理人之誘因效果。
結果發現對於持有傳統型的員工認股權證的經理人，會有誘因去提高公司的系統性風險。但是相反的，對於持有指數型員工認股權證的經理人而言，如果公司的系統性風險偏低，經理人會選擇提高系統性風險使指數型員工認股權證價值增加。但是如果公司的系統性風險偏高，則經理人會選擇降低公司的系統性風險以提升手中的指數型員工認股權證價值。股東或董事如果沒有在系統性風險上作有效的監督，將可能會使公司暴露於不當的系統性風險下，而使公司受到傷害。
另外，本研究也發現不論是以Black-Scholes模型評估傳統型或指數型員工認股權證的價值，都會造成相當大的誤差。

The researches of the incentive effect of risk concentrate mostly on the effect of total risk change to the value of executive stock options. This is because when the Black-Scholes model is used to evaluate executive stock options, the price will be affected only when the total risk is changed. The change of systematic risk and company specific risk will have no effect to the value of executive stock option. In this thesis, we introduce the systematic risk into GARCH model, and analyze the incentive effect of systematic risk to managers with executive stock options.
We find that managers with non-indexed executive stock options will have the incentive to increase the company’s systematic risk. On the other hand, managers with indexed executive stock options will tend to increase the company’s systematic risk when it is below the target value, or reduce the company’s systematic risk when it is above the target value, in order to increase the value of indexed executive stock options. If the systematic risk is not monitored efficiently, companies may be exposed under inappropriate systematic risk, and the market prices may be spoiled.
We also find that when Black-Scholes model is used to evaluate non-indexed or indexed executive stock options, significant error could be resulted in

第一章 研究動機與目的…………………………………………1
第二章 文獻回顧…………………………………………………3
第一節 總風險的誘因效果文獻…………………………………3
第二節 系統性風險的誘因效果文獻……………………………4
第三章 員工認股權證介紹……………………………………………………………………10
第一節 員工認股權證簡介………………………………………10
第二節 員工認股權證之優缺點…………………………………11
第三節 指數型員工認股權證與其他非標準契約形式員工認股權證…13
第四章 研究方法……………………………………………………15
第一節 GARCH模型介紹………………………………………………15
第二節 將系統性風險導入EGARCH模型……………………………17
第三節 引入變異數c之必要性………………………………………20
第四節 帶入市場報酬模型…………………………………………27
第五節 傳統型與指數型員工認股權證之價值……………………28
第五章 評價結果與分析……………………………………………29
第一節 參數估計與模擬設定………………………………………29
第二節 傳統型員工認股權證之系統性誘因效果分析……………33
第三節 指數型員工認股權證之系統性誘因效果分析……………44
第六章 結論…………………………………………………………54
參考文獻………………………………………………………………55
附錄一…………………………………………………………………57
附錄二…………………………………………………………………59
附錄三…………………………………………………………………61

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[12] 洪玉婷 (2000) 高階經理人「員工認股權」之設計與評價 台大財研所
[13] 簡秋萍 (2002) 員工認股權憑證契約效率性與誘因效果之比較 台大財研所