Chapter 15 第十五章
Employee Stock Options
雇员股票期权
1
Nature of Employee Stock Options
雇员股票期权的性质
Employee stock options are call options issued
by a company on its own stock
雇员股票期权是公司授予其雇员以公司自身股票
为标的物的看涨期权
They are often at-the-money at the time of issue
发行时,雇员股票期权通常是平值期权
They often last as long as 10 years
雇员股票期权常常延续10年之久
2
Typical Features of Employee Stock Options
雇员股票期权的典型特征
There is a vesting period during which options cannot be
exercised
存在一段等待时间,在此期间期权是不能被行使的。
When employees leave during the vesting period options are
forfeited
在等待时间内,当雇员离开公司时,期权将会作废
When employees leave after the vesting period in-the-money
options are exercised immediately and out of the money options
are forfeited
在等待时间之后,当雇员离开公司时,实值期权应立即执行,虚
值期权将会作废
Employees are not permitted to sell options
雇员不允许出售这些期权
When options are exercised the company issues new shares
当雇员行使期权时,公司将会发行新股票
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Exercise Decision行使决策
To realize cash from an employee stock option
the employee must exercise the options and sell
the underlying shares
为了从雇员股票期权中获得现金,雇员必须行使
期权并卖出标的股票
Even when the underlying stock pays no dividend
an employee stock option (unlike a regular call
option) is often exercised early
即使标的股票不支付股息,雇员股票期权(不像
普通的看涨期权)仍然经常被提前行使
4
Drawbacks of Employee Stock Options
雇员股票期权的缺陷
Gain to executives from good performance is much greater than
the penalty for bad performance
公司业绩好对于管理人员的收益远大于业绩糟糕对于他们的惩罚
Executives do very well when the stock market as a whole goes
up, even if their firm does relatively poorly
当股票市场整体上涨的时候,即使公司业绩相对一般,管理层
现
出来的业绩也会较好
Executives are encouraged to focus on short-term performance
at the expense of long-term performance
往往激励管理层只谋求短期利益,而牺牲长远的发展
Executives are tempted to time announcements or take other
decisions that maximize the value of the options
管理层可能被诱使选择公布消息的时间或做出其他最大化期权价格
的决定
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Accounting for Employee Stock Options
雇员股票期权的会计问
Prior to 1995 the cost of an employee stock option on the
income statement was its intrinsic value on the issue date
1995年以前,公司发行股票期权时所记入利润表中的费用为发
行日的内在价值
After 1995 a “fair value” had to be reported in the notes (but
expensing fair value on the income statement was optional)
1995年以后,账目附注中应当说明雇员股票期权的公允价值
(以非强制性作为费用记录在利润表中为代价)
Since 2005 both FASB and IASB have required the fair value
of options to be charged against income at the time of issue
自2005年以来,FASB(财务会计准则委员会)和IASB(国际
会计准则理事会)都要求在雇员股票期权发行时,将其按照公
允价值作为费用记录在利润表中
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Traditional At-the-Money Call Options
传统的平值看涨期权
The attraction of at-the-money call options used to be
that they led to no expense on the income statement
because they had zero intrinsic value on the exercise
date
平值看涨期权的吸引力在于其不会在利润表中产生费用,
因为在履约日时,他们的内在价值为零
Other plans were liable to lead an expense
其他的期权
易于产生费用
Now that the accounting rules have changed some
companies are considering other types of plans
如今会计准则已经改变,一些企业正在考虑使用其他形
式的期权方案
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Nontraditional Plans page 336
非传统期权方案
Strike price is linked to stock index so that the
company’s stock price has to outperform the index
for options to move in the money
将期权的执行价格与股票指数联系起来,只有当公司
股票价格的表现好于股票指数时,期权才会成为实值
Strike price increases in a predetermined way
将执行价格以某种预定的方式上涨
Options vest only if specified profit targets are met
只有当盈利目标被满足时,期权才会生效
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Valuation of Employee Stock Options
雇员股票期权的定价
Most common approach is to use Black-Scholes-
Merton with time to maturity equal to an estimate of
expected life
最常用的
是应用布莱克-斯科尔斯-莫顿模型,并
将期权的有效期设成预期寿命
There is no theoretical justification for this but it
seems to give reasonable results in most
circumstances
以上述方式给雇员股票期权定价是没有什么理论依据
的,但在大多数情况下,模型都能得到合理的结果。
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Example 例子
A company issues one million10-year ATM options
一家公司发行100万份有效期为10年的平值期权
stock price is $30.
股票价格是30美元
It estimates the long term volatility using historical data to be
25% and the average time to exercise to be 4.5 years
利用历史数据,公司估计出股票价格长期波动率为25%,这些
期权被行使的平均时间是4.5年
The 4.5 year interest rate is 5% and dividends during the next
4.5 years are estimated to have a PV of $4
4.5年期的利率为5%,今后5年所付股息的现值预计为4美元
Using BSM with S0 =30, K=30, r=5%, s=25%, and T=4.5 years
gives value of each option equal to $6.31
使用BSM公式,得到每一份期权的价值等于6.31美元
The income statement expense would be $6.31 million
利润表中相应产生的费用为6310 000美元
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Other Approaches
雇员股票期权定价的其他方法
Estimate the probability of exercise as a function of the stock
price and remaining life. Use a binomial tree with roll back rules
reflecting the probabilities
估计期权的行使概率是股票价格和剩余期限的函数。使用二叉树
并根据递归规则来反映这种概率
A simple version of this is to assume that the option is exercised
when the ratio of the stock price to the strike price reaches some
multiple
上述方法的一个简单变形是当股票价格与执行价格的比率高出某一
水平时,假设期权将会被立即执行
Use an auction to determine the market prices of securities
whose payoffs mirror the payoffs from the options
使用拍卖与雇员股票期权收益相同的证券来决定其市场价格
This is an approach used by Zions Bancorp in 2007
这种方法内华达州立银行曾在2007年使用过
11
Dilution 稀释效应
Employee stock options are liable to dilute the interests of
shareholders because new shares are bought at below
market price
雇员股票期权倾向于稀释股东的利益,因为公司需要以低于市
场价格发行新的股票
However this dilution takes place at the time the market
hears that the options have been granted (Business
Snapshot 14.3)
然而这种稀释效应发生在市场第一次听说有关授予雇员股票
期权的消息时
It does not take place at the time the options are exercised
而不是发生在期权被执行时
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Backdating 倒填日期
Backdating appears to have been a widespread
practice in the United States
倒填日期在美国似乎已成为一种非常普遍的行为
A company might take the decision to issue at-the-
money options on April 30 when the stock price is $50
and then backdate the grant date to April 3 when the
stock price is $42
假设一家公司决定在4月30日当股票价格为50美元时向其
雇员授予平值期权,如果4月3日股票价格为42美元,公
司可能会企图将期权当做4月3日被授予的
Why would they do this?
为何要这么做?
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Academic Research Exposed Backdating
学术研究关于倒填日期行为的证据
(See Eric Lie’s web site: www.biz.uiowa.edu/faculty/elie/backdating.htm
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