股票期权的激励机制、激励效应与绩效研究
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摘要
本文在委托—代理模型的基础上，从系统分析与设计的角度研究最优股票期权合约的确定问题。股票期权实际上是由公司制定并与其高级管理人员签订的一种长期报酬激励合约，我们分别从经理和公司两个方面研究股票期权的激励效应与绩效。具体内容包括：股票期权激励的作用机制是如何实现的、经理人接受的股票期权的价值与公司授予的股票期权的成本有什么不同、哪些因素影响股票期权对经理人的激励效应、哪些因素影响股票期权对公司的绩效、最优股票期权合约应满足什么条件、在最优合约的确定过程中应考虑哪些主要参数、这些参数的作用如何等等一系列问题。
论文的主要创新之处在于：
1、推导出不同于Black-Scholes模型的股票期权价值的定价公式。由于经理股票期权的交易性受到限制，其价值实际上低于公司为期权所支付的经济成本。若用Black-Scholes期权定价模型计算，势必会高估股票期权的价值，进而高估其对经理人的激励效应。因此我们用“确定性等值”方法推导出不同于Black-Scholes模型的股票期权价值的定价公式。区分股票期权成本与股票期权价值非常重要，这是研究股票期权激励效应与绩效的基本前提。
2、从一个新的角度研究股票期权激励合约。现有文献仅是基于经理报酬与公司业绩的关系研究股票期权对经理的激励效应，而本文还从另外一个新的角度——公司的角度考察股票期权合约的绩效。我们引入会计学中的“成本—收益比”作为衡量股票期权合约绩效的指标，分析影响期权合约绩效的因素。
3、综合考虑股票期权的激励效应和绩效，得到最优股票期权合约应满足的条件；采用静态比较和仿真模拟方法，对最优合约的主要参数进行分析和模拟。
4、运用系统工程的方法，系统研究了经理股票期权的理论基础、激励机制、激励效应、合约绩效以及最优股票期权合约的确定等有关股票期权激励问题的各个环节，对股票期权激励合约的分析与设计具有一定的参考价值。
In this paper we are concerned with stock option contracts in the provision of managerial incentives. How does the incentive mechanism of stock option contracts realize? What is the difference between the value of stock option accepted by executive and the cost of stock option granted by the shareholders? What are the factors affecting the incentive effect of stock option contracts? What are the factors affecting the performance of stock option contracts? What requirements should the optimal stock option contract meet? Which variables should be considered when deciding optimal stock option contract? How do these variables work? These issues will be of great help to understand stock option contracts comprehensively, and will certainly promote its development in China.
We address these various issues in the framework of principal-agent theory, and our main contributions are as follows:
1. Deducing the pricing formula of executive stock option (ESO) which is different from Black-Scholes model in a new method called 'Certainty Equivalence'. ESO is not tradable, whose value is less than the economic cost the shareholders paid. So we cannot measure them by Black-Scholes model, otherwise the value will be overestimated and inevitably the incentive effect will also be overestimated. It is important to distinguish the value and the cost of ESO, which is the premise of studying the incentive effects and performances of ESO contracts.
2. Studying ESO contracts from a new perspective, namely evaluating the performance of ESO contracts from the shareholders. Most literature only studied the incentive effects of ESO based on pay-for-performance. We apply Cost-to-Value in accountings field as the index of performance of ESO contracts, and then analyze the affecting factors.
3. Considering the incentive effect and performance of ESO contracts synthetically we get the condition that the optimal stock option contract should meet, and then we analyze and simulate the main parameters of optimal stock option contract.
4. Studying all aspects of ESO contracts systematically, which will be helpful to design stock option contracts to some extent.
论文的主要创新之处在于：
1、推导出不同于Black-Scholes模型的股票期权价值的定价公式。由于经理股票期权的交易性受到限制，其价值实际上低于公司为期权所支付的经济成本。若用Black-Scholes期权定价模型计算，势必会高估股票期权的价值，进而高估其对经理人的激励效应。因此我们用“确定性等值”方法推导出不同于Black-Scholes模型的股票期权价值的定价公式。区分股票期权成本与股票期权价值非常重要，这是研究股票期权激励效应与绩效的基本前提。
2、从一个新的角度研究股票期权激励合约。现有文献仅是基于经理报酬与公司业绩的关系研究股票期权对经理的激励效应，而本文还从另外一个新的角度——公司的角度考察股票期权合约的绩效。我们引入会计学中的“成本—收益比”作为衡量股票期权合约绩效的指标，分析影响期权合约绩效的因素。
3、综合考虑股票期权的激励效应和绩效，得到最优股票期权合约应满足的条件；采用静态比较和仿真模拟方法，对最优合约的主要参数进行分析和模拟。
4、运用系统工程的方法，系统研究了经理股票期权的理论基础、激励机制、激励效应、合约绩效以及最优股票期权合约的确定等有关股票期权激励问题的各个环节，对股票期权激励合约的分析与设计具有一定的参考价值。
In this paper we are concerned with stock option contracts in the provision of managerial incentives. How does the incentive mechanism of stock option contracts realize? What is the difference between the value of stock option accepted by executive and the cost of stock option granted by the shareholders? What are the factors affecting the incentive effect of stock option contracts? What are the factors affecting the performance of stock option contracts? What requirements should the optimal stock option contract meet? Which variables should be considered when deciding optimal stock option contract? How do these variables work? These issues will be of great help to understand stock option contracts comprehensively, and will certainly promote its development in China.
We address these various issues in the framework of principal-agent theory, and our main contributions are as follows:
1. Deducing the pricing formula of executive stock option (ESO) which is different from Black-Scholes model in a new method called 'Certainty Equivalence'. ESO is not tradable, whose value is less than the economic cost the shareholders paid. So we cannot measure them by Black-Scholes model, otherwise the value will be overestimated and inevitably the incentive effect will also be overestimated. It is important to distinguish the value and the cost of ESO, which is the premise of studying the incentive effects and performances of ESO contracts.
2. Studying ESO contracts from a new perspective, namely evaluating the performance of ESO contracts from the shareholders. Most literature only studied the incentive effects of ESO based on pay-for-performance. We apply Cost-to-Value in accountings field as the index of performance of ESO contracts, and then analyze the affecting factors.
3. Considering the incentive effect and performance of ESO contracts synthetically we get the condition that the optimal stock option contract should meet, and then we analyze and simulate the main parameters of optimal stock option contract.
4. Studying all aspects of ESO contracts systematically, which will be helpful to design stock option contracts to some extent.
引文
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