The volatility and price sensitivities of managerial stock option portfolios and corporate hedging

• 成果类型: Article
• 署名作者: Knopf, JD; Nam, J; Thornton, JH
• 署名单位: Seton Hall University; Pace University; University System of Ohio; Kent State University; Kent State University Kent; Kent State University Salem
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00442
• 发表日期: 2002
• 页码: 801-813
• 关键词: Risk management; DERIVATIVES USE; COMPENSATION; determinants; Currency; FIRMS

摘要

We use estimates of the Black-Scholes sensitivity of managers' stock option portfolios to stock return volatility and the sensitivity of managers' stock and stock option portfolios to stock price to test the relationship between managers' risk preferences and hedging activities. We find that as the sensitivity of managers' stock and stock option portfolios to stock price increases, firms tend to hedge more. However, as the sensitivity of managers' stock option portfolios to stock return volatility increases, firms tend to hedge less.