在本文中,我們利用廣義線性模型配適Ingersoll (2006) 所提出的員工股票選擇權 (employee stock option ; ESO),其中的解釋變數皆為個體經濟因子, 並使用 Liang 與 Zerg (1986) 發展出的GEE(generalized estimating equation) 估計模型中的參數,希望藉此找出能夠解釋ESO價值的個體經濟因子。資料全數取自於台灣經濟新報 (Taiwan economic journal ; TEJ),並針對確實發過員工股票選擇權的上市公司進行實證研究,結果顯示,在大部分情況下市值比重對於ESO價值都為顯著的正相關。 We use the pricing formula from Ingersoll (2006) to calculate the employee stock option (ESO) value and let it be the response of generalized linear model (GLM). The factors we used in GLM can represent the situations about the company. Since the responses are correlated, we use generalized estimating equation (GEE) developed by Liang and Zerg (1986) to improve the efficiency of estimating parameters in GLM. The companies are selected from those used ESO to be the incentive tool. All of the data is from Taiwan economic journal (TEJ). The results show that the weight of market value is positive relative to the ESO value in most cases.
