風險及情感認知對員工認股權價值及履約決策之影響

Abstract

在考量違約風險、員工風險趨避程度及限制持股比例的條件下，本研究提供一套評價公式，得到美式員工認股權的主觀價值。進一步地，我們探討不同風險對員工認股權主觀價值的影響。研究發現，員工的風險趨避程度及限制持股比例愈大，則主觀價值愈小。然而，情感認知(sentiment) 如過度自信(over-confidence) 或私有訊息(private information) 可以抵銷限制持股比例造成的價格貶值影響。利用Compustat 經理人報酬資料庫1992 至2004 年員工認股權及報酬資料，我們發現經理人評價其所得之員工認股權高於Black-Scholes 價值的48%，此可由12% 年超額報酬的情感認知水準解釋，隱含經理人有高度的過度自信或私有訊息。 本文發現：員工認股權主觀價值與限制持股比例有負向的關係，而與情感認知有正向的關係；情感認知高者願意延後履約時間，然而無論是限制持股比例、系統性或非系統性風險增加皆誘使員工提早履約。由傳統選擇權定價理論可得，當標的資產總風險愈高時，選擇權的價值也會愈高。但本研究發現增加股價波動性(volatility) 除非大部分來自於系統性風險，否則對員工認股權的主觀價值很可能帶來負面的影響，進而影響員工投資決策。

This study provides an analytic approximation for finite horizon American employee stock options (ESOs) and a closed form solution for perpetual American ESOs, which take into account risk aversion, stock holding constraint and default risk. Accounting for stock holding constraint, option pricing models generally imply a discount to market value. In contrast, our model further considers the role of sentiment, which offsets the impact of stock holding constraint. Using executive stock options and compensation data paid between 1992 and 2004 for firms covered by Compustat Executive Compensation Database, we find that executives value ESOs at a 48% premium to Black-Scholes value and ESO premia are explained by a sentiment level of 12% in risk-adjusted, annualized excess return, suggesting a high level of executive over-confidence. Subjective value is positively related to sentiment, and negatively related to stock holding constraint and idiosyncratic risk in all specifications, consistent with the offsetting roles of sentiment and risk aversion. Based on our proposed model, we can observe that exercise boundary decreases with stock holding constraint and idiosyncratic risk, while employee with high sentiment will postpone the exercise timing. Moreover, ESOs may not generate the sort of risk-taking behavior implied by more traditional options pricing formulae owing to the restriction of the employee’s holdings. Full diversification is impossible, hence, as idiosyncratic risk increases, the risk-premium associated with holding the asset likewise increases.