高階經理人風險承擔、企業經營績效與股票選擇權價值

• Main Author: 陳美佳
• Other Authors: 林宜勉
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/53133608923403161863

碩士 === 國立中興大學 === 企業管理學系研究所 === 92 === The seperation of ownership and management results in “Agency Problem ” , executive stock option seems to be the most popular instrument for addressing the agency problem nowadays. How to determine the value of executive stock option is therefore becoming very important. The Black-Scholes formula is the most common approach used for evaluating stock options and almost all companies adopt it to calculate the value of executive stock options. However, as the executive stock options are different from the freely tradable stock options in many aspects, the calculated value by the Black-Scholes formula may be inaccurate. The main purposes of this thesis aim to compare the value of executive stock option derived from the Black-Scholes, Merton and Ingersoll Models, and determine which model best watches with the reality. The evidence shows that: (1) The executive’s compensation is positively related to companies’ return, growth opportunities, the percentage executives’ shareholding and their tenure. (2) The Ingersoll model is best model in terms of valuing the executive’s risk-taking. The executives’ risk-taking is positively related to the firm’s performance, and the value of stock option, but negatively related to the executive’s age and tenure. (3) The firm’s investment level is positively related to the executive’s risk-taking, free cash flow and growth opportunity of the firms, but negatively related to the financial leverage and dividend payout. (4) In the Ingersoll model, firms’ performance is positively related to the degree of pay-performance sensitivity, the value of stock option, firms’ investment level and the extent of executive’s risk-taking, but negatively related to firms’ dividend payout and market share. (5) The Ingersoll model is the most sensible approach in the search of the value of stock option. The value of stock option is positively related to the firms’ performance, the firms’ risk, the growth opportunities and the extent of executive’s risk-taking, but negatively related to dividend payout. Keywords: Executive Risk-Taking, Compensation, Executive Stock Option, Investment , Firm Performance