Risk, ambiguity, and the exercise of employee stock options

• 成果类型: Article
• 署名作者: Izhakian, Yehuda; Yermack, David
• 署名单位: City University of New York (CUNY) System; Baruch College (CUNY); New York University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.12.006
• 发表日期: 2017
• 页码: 65-85
• 关键词: Ambiguity measurement; ambiguity aversion; Employee stock options

摘要

We investigate the importance of ambiguity, or Knightian uncertainty, in executives' stock option exercise decisions. We develop an empirical estimate of ambiguity and include it in regression models alongside the traditional measure of risk, equity volatility. We show that each variable has a significant effect on the timing of option exercises, with volatility causing executives to hold options longer to preserve option value, and ambiguity increasing the tendency for executives to exercise early. (C) 2016 Elsevier B.V. All rights reserved.