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| ???org.dspace.app.webui.jsptag.ItemTag.dcfield??? | Value | Language |
|---|---|---|
| dc.contributor.advisor | 李存修 | |
| dc.contributor.author | Yu-Ting Hsiao | en |
| dc.contributor.author | 蕭珝廷 | zh_TW |
| dc.date.accessioned | 2021-06-08T04:23:17Z | - |
| dc.date.copyright | 2010-07-06 | |
| dc.date.issued | 2010 | |
| dc.date.submitted | 2010-06-28 | |
| dc.identifier.citation | 王雅慧 (2005) ，「以障礙選擇權方法評估公司信用風險」，銘傳大學財務金融學系碩士研究所論文。
李沃牆、朱竣平 (2006) ，「信用評等對公司違約率即財務危機預測之探討」。 林宜勉 (2009) ，「股票選擇權獎酬、風險承擔誘因與CEO持有意願」，中興大學企業管理研究所論文。 黃明祥、許光華、黃榮彬、陳鈺鈴 (2005) ，「KMV 模型在台灣金融機構信用風險管理機制有效性之研究」，財金論文叢刊，第三期，pp29-50。 黃晟邦 (2009) ，「董、監事誘因機制對負債比例決策之影響」，臺灣大學國家發展研究所論文。 Brisley, N. (2006). 'Executive Stock Options: Early Exercise Provisions and Risk-taking Incentives”. Journal of Finance, 61: 2487-2509. Brookfield, D. and P. Ormrod, (2000). “Executive stock options: volatility, managerial decisions and agency costs”, Journal of Multinational Financial Management, 10: 275-295. Carpenter, J.N. (2000). “Does option compensation increase managerial risk appetite?”, Journal of Finance,55(5): 2311-2331. Chen, C.R., T.L. Steiner, and A.M. Whyte, (2006). “Does stock option-based executive compensation induce risk-taking? An analysis of the banking industry”, Journal of Banking & Finance, 30(3): 915-945. Cohen, R.B., B.J. Hall, and L.M. Viceira, (2000). “Do executive stock options encourage risk-taking”, Unpublished manuscript, Harvard University. Core, J.E. W.R.Guay, and D.F. Larcker, (2003). “Executive equity compensation and incentives: a survey”, Economic policy review: 9(1), 27-50. DeFusco, R.A., R.R. Johnson, and T.S. Zorn, (1990). “The effect of executive stock option plans on stockholders and bondholders” ,Journal of Finance,45(2): 617-627. Fama, E.F. (1980). “Agency problems and the theory of the firm”, Journal of Political Economy: 88(2). Fang, M. and R. Zhong, (2004) “Default risk, firm's characteristics, and risk shifting”, Yale ICF Working Paper, 4(21). Guay, W.R. (1999). “The sensitivity of CEO wealth to equity risk: an analysis of the magnitude and determinants”, Journal of Financial Economics: 53(1),43-72. Gray, S.R. and A.A. Cannella Jr, (1997). “The role of risk in executive compensation”, Journal of Management: 23(4),517-540. Hjortshøj, T. (2007), “Managerial risk-shifting incentives of option-based compensation: Firm risk, leverage, and moneyness”, SSRN eLibrary. Jensen, M.C. and W.H. Meckling, (1976), “Theory of the firm: Managerial behavior, agency costs and ownership structure”, Journal of Financial Economics, 3(4): 305-360. Knopf, J.D., J. Nam, and Jr, J.H. Thornton (2002), “The volatility and price sensitivities of managerial stock option portfolios and corporate hedging”, Journal of Finance, 57(2):801-813. Lambert, R.A., D.F. Larcker, and R.E. Verrecchia, (1991), “Portfolio considerations in valuing executive compensation”, Journal of Accounting Research, 29(1):129-149. Murphy, K.J. (1999), “Executive compensation”. Rajgopal, S. and T. Shevlin, (2002), “Empirical evidence on the relation between stock option compensation and risk taking”, Journal of Accounting and Economics: 33(2),145-171. Walsh, J.P. and J.K. Seward, (1990), “On the efficiency of internal and external corporate control mechanisms”, Academy of Management Review: 15(3),421-458. Saunders, A., E. Strock, and N.G. Travlos, (1990), “Ownership structure, deregulation, and bank risk taking”, Journal of Finance, 45:643-654. Sanders, W.G. and D.C. Hambrick, (2007), “Swinging for the fences: The effects of CEO stock options on company risk taking and performance”, The Academy of Management Journal, 50(5):1055-1078. Skinner, D.J. (1989), “Options markets and stock return volatility”, Journal of Financial Economics, 23(1): 61-78. Smith, C.W. and R.M. Stulz, (1985), “The determinants of firms' hedging policies”, Journal of Financial and Quantitative Analysis, 20(4): 391-405. Vassalou, M. and Y. Xing, (2004), “Default risk in equity returns”, Journal of Finance, 59(2): 831-868. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/22644 | - |
| dc.description.abstract | 本研究主要的目的是希望能夠探究經理人的股票選擇權薪酬的發放與經理人風險承擔行為上的關聯性。為了探究兩者之間的關聯性，本研究分別從經理人投資決策與融資決策的角度出發，嘗試利用由KMV模型所推導出的公司資產波動度 (implied asset volatility) 以及公司的負債比例當作衡量經理人風險承擔行為的代理變數，並利用經理人股票選擇權佔總薪酬的比例當作經理人風險誘因的代理變數，根據美國經理人薪酬資料進行實證分析。
根據本研究的實證結果，普遍而言，我們發現在投資決策上，當公司發放給經理人的股票選擇權佔總薪酬比例越高時，的確能鼓勵經理人進行高風險性的投資計畫案；此外，若當經理人持有的是價內 (in-the-money) 的股票選擇權時，經理人會基於守成的心態，反而不願意去進行高風險的投資行為。 然而，若是進一步將經理人持有的股票選擇權分為價外 (out-of-the-money) 與價內 (in-the-money) 兩大類，我們發現不論是持有價外或價內股票選擇權的經理人，股票選擇權佔總薪酬的比例高低與公司資產波動之間，其實並沒有存在非常明顯的關聯性。但當經理人持有的股票選擇權越為淺價內時，經理人的確會較有誘因去從事高風險性的投資案，使得公司資產的波動程度也跟著上升；相反的，當經理人持有的股票選擇權已處於價內時，則較無法準確預估其對經理人風險承擔行為的影響效果。 而在融資決策面上，本研究的實證結果並不支持經理人股票選擇權的發放，能夠增加經理人去操作高槓桿財務決策的風險承擔行為，亦即本研究認為美國企業經理人股票選擇權薪酬的發放，對於促進經理人在投資決策上的風險承擔影響效果，是優於其在經理人融資決策面上的影響。 | zh_TW |
| dc.description.abstract | The main purpose of this empirical research is to discuss the relation between CEO’s stock option compensation and CEO’s risk-taking behaviors. We try to decompose CEO’s risk-taking behaviors into investment decisions and financing decisions. In our empirical research, we use KMV model to derive implied asset volatility as the proxy for CEO’s investment decisions, and we use debt ratio as the measurement of CEO’s financing decisions. Furthermore, in order to measure the risk-taking incentives, we use CEO’s stock option value divided by total compensation in a given year as the proxy for CEO’s risk-taking incentives.
Our empirical research shows that on average the level of CEO’s stock option compensation incentive did induce CEO to make risky investments decisions. On the other hand, if CEO own in-the-money options, CEO would prefer less risky project due to their conservative attitude. Furthermore, if we divide CEO’s stock option into two different groups- out-of-the money and in-the-money option, we find out that the level of CEO risk-taking incentives does not have obvious relation with asset volatility. However, if the out-of-the money options which CEO holds are near the exercise price, CEO will have higher but not significant incentive to take risky investment for the reason that CEO want to elevate asset volatility. Nevertheless, the relation between in-the-money stock option compensation and investment behaviors is ambiguous. On the other hand, our empirical research does not support the idea that CEO’s stock option can lead CEO to make risky financing decisions. As a result, we conclude that the risk-taking incentives which stock options provide to CEO may have higher influence on CEO’s investment decisions than on financing decisions. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T04:23:17Z (GMT). No. of bitstreams: 1 ntu-99-R97723001-1.pdf: 4920484 bytes, checksum: 5c50f628b0de9de58c9db7d3b13c2eed (MD5) Previous issue date: 2010 | en |
| dc.description.tableofcontents | 謝辭----------------------- i
摘要----------------------- ii Abstract------------------- iii 壹、緒論------------------- 1 貳、文獻回顧--------------- 3 參、研究方法---------------6 肆、實證結果與分析 ---------15 伍、結論與建議------------- 26 參考文獻------------------- 27 | |
| dc.language.iso | zh-TW | |
| dc.subject | 經理人股票選擇權薪酬 | zh_TW |
| dc.subject | KMV模型 | zh_TW |
| dc.subject | 風險承擔行為 | zh_TW |
| dc.subject | risk-taking incentive | en |
| dc.subject | ESO | en |
| dc.subject | KMV | en |
| dc.title | 高階經理人股票選擇權薪酬制與風險承擔之關聯性 | zh_TW |
| dc.title | The Relationship between CEO Compensation Package and Risk-taking Behavior | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 98-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 柯承恩,胡星陽 | |
| dc.subject.keyword | 經理人股票選擇權薪酬,KMV模型,風險承擔行為, | zh_TW |
| dc.subject.keyword | ESO,KMV,risk-taking incentive, | en |
| dc.relation.page | 29 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2010-06-29 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| Appears in Collections: | 財務金融學系 | |
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| File | Size | Format | |
|---|---|---|---|
| ntu-99-1.pdf Restricted Access | 4.81 MB | Adobe PDF |
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