Employee Stock Option Exercise and Firm Cost

• 成果类型: Article
• 署名作者: Carpenter, Jennifer N.; Stanton, Richard; Wallace, Nancy
• 署名单位: New York University; University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12752
• 发表日期: 2019
• 页码: 1175-1216
• 关键词: AMERICAN CALL OPTIONS; ANALYTIC VALUATION; ceo overconfidence; risk-aversion; FORMULA

摘要

We develop an empirical model of employee stock option exercise that is suitable for valuation and allows for behavioral channels. We estimate exercise rates as functions of option, stock, and employee characteristics using all employee exercises at 88 public firms, 27 of them in the S&P 500. Increasing vesting frequency from annual to monthly reduces option value by 11% to 16%. Men exercise faster, reducing value by 2% to 4%, while top employees exercise slower, increasing value by 2% to 7%. Finally, we develop an analytic valuation approximation that is more accurate than methods used in practice.