The exercise and valuation of executive stock options

• 成果类型: Article
• 署名作者: Carpenter, JN
• 署名单位: New York University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(98)00006-3
• 发表日期: 1998
• 页码: 127-158
• 关键词: executive stock options; Exercise policy; Option valuation; nontransferable option; Utility maximization

摘要

In theory, hedging restrictions faced by managers make executive stock options more difficult to value than ordinary options, because they imply that exercise policies of managers depend on their preferences and endowments. Using data on option exercises from 40 firms, this paper shows that a simple extension of the ordinary American option model which introduces random, exogenous exercise and forfeiture predicts actual exercise times and payoffs just as well as an elaborate utility-maximizing model that explicitly accounts for the nontransferability of options. The simpler model could therefore be more useful than the preference-based model for valuing executive options in practice. (C) 1998 Elsevier Science S.A. All rights reserved.