博碩士論文 962205009 詳細資訊




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姓名 周治良(Chih-lian Chou)  查詢紙本館藏   畢業系所 統計研究所
論文名稱 公司營運狀況與員工股票選擇權之關係
(The relationship between the company's operations andemployee stock option)
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摘要(中) 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。
摘要(英) 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.
關鍵字(中) ★ 廣義線性模型
★ 員工股票選擇權
★ GEE
★ 市值比重
關鍵字(英) ★ generalized estimating equation
★ generalized linear model
★ employee stock option
★ the weight of market value
論文目次 摘要....................................................i
Abstract................................................ii
誌謝....................................................iii
目錄....................................................v
表目次..................................................vi
第一章緒論..............................................1
1.1 研究動機與目的......................................1
1.2 章節安排............................................2
第二章研究方法..........................................3
2.1 選擇權定價模型......................................3
2.2 Generalized Estimating Equation.....................6
第三章實證結果..........................................8
3.1 資料介紹............................................8
3.2 金融風暴前..........................................9
3.3 金融風暴後..........................................13
第四章結論與建議........................................17
參考文獻................................................18
參考文獻 [1] Fitzmaurice, G. M. (1995). A caveat concerning independence estimating equations with multiple multivariate binary data. Biometrics, 51, 309–317.
[2] Jonathan E. Ingersoll, J. (1998). Approximating American options and other financial contracts using barrier derivatives. Journal of Computational Finance, 2, 85–112.
[3] Jonathan E. Ingersoll, J. (2000). Digital contracts: Simple tools for pricing complex derivatives. Journal of Business, 73, 67–88.
[4] Jonathan E. Ingersoll, J. (2006). The Subjective and Objective Evaluation of Incentive Stock Options. Journal of Business, 79, 453–487.
[5] Liang, K.-Y. and Zeger, S. L. (1986). Longitudinal Data Analysis Using Generalized Linear Models. Biometrika, 73, 13–22.
[6] McDonald, B.W. (1993). Estimating logistic regression parameters for bivariate binary data. Journal of the Royal Statistical Society, Series B, 55, 391–397.
[7] Merton, R. C. (1969). Lifetime portfolio selection under uncertainty: The continuous-time case. Review of Economics and Statistics, 51, 247–257.
[8] Pan, W. (2001). Akaike’s Information Criterion in Generalized Estimating Equations.Biometrics, 57, 120–125.
[9] Zeger, S. L. (1988). The analysis of discrete longitudinal data: Commentary. Statistics in Medicine, 7, 161–168.
指導教授 傅承德(Cheng-der Fuh) 審核日期 2009-6-29
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