高階經理人認股選擇權條款之研究--重設條款,凍結期間; The Clauses of Executive Stock Option --Resetting and Vesting Period

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题名:	高階經理人認股選擇權條款之研究--重設條款,凍結期間;The Clauses of Executive Stock Option --Resetting and Vesting Period
作者:	陳一飛;Ei-Fei Chen
贡献者:	財務金融研究所
关键词:	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;employee stock option;vesting period;ressting;executive stock option;real option
日期:	2002-06-20
上传时间:	2009-09-22 14:35:12 (UTC+8)
出版者:	國立中央大學圖書館
摘要:	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.
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