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雇员股票期权

2014-03-28 14页 pdf 665KB 69阅读

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雇员股票期权 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...
雇员股票期权
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 3 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 5 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 6 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 7 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 8 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。 9 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 10 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 12 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? 13 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 14
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