En IFRS 2 og FASB 123 (R) Kompatibel modell for verdsettelse av ansattes aksjeopsjoner Sitere denne artikkelen som: Ammann, M. Seiz, R. Fin Mkts Portfolio Mgmt (2005) 19: 381. doi: 10.1007s11408-005-6458 -2 I dette papiret viser vi hvordan aksjeopsjoner kan verdsettes i henhold til de nye rapporteringsstandardene IFRS 2 og FASB 123 (revidert) for aksjebaserte innbetalinger. Begge standarder krever at selskapene kostnadsfører ansatteopsjoner til virkelig verdi. Vi foreslår en ny verdsettelsesmodell, referert til som Enhanced American-modellen, som overholder de nye standardene og produserer rettverdier som ofte er lavere enn de som genereres av tradisjonelle modeller som BlackScholes-modellen eller den justerte BlackScholes-modellen. Vi gir også en følsomhetsanalyse av modellinngangsparametere og analyserer virkningen av parametrene på virkelig verdi av alternativet. Verdsettelsen av aksjeopsjoner krever en nøyaktig estimering av treningsoppførelsen. Vi viser hvordan treningsadferdigheten kan modelleres i et binomialt tre og demonstrere relevansen av inngangsparametrene i kalibreringen av modellen til et estimert forventet levetid for alternativet. aksjeopsjoner utøvende kompensasjon IFRS 2 FASB 123 (R) JEL Klassifisering Referanser Ammann M. og R. Seiz (2004): Valuing Employee Stock Options: Har Model Matter, Financial Analysts Journal 60 (5), SeptemberOctober. Carpenter, J. (1998): Utøvelse og verdsettelse av aksjeopsjoner, Journal of Financial Economics 48 (2), s. 127158, (mai). CrossRef Google Scholar Cox, J. C. S. Ross og M. Rubinstein (1979): Alternativprising: En forenklet tilnærming, Journal of Financial Economics 7 (3), s. 229263, (september). CrossRef Google Scholar Cuny, JC og P. Jorion (1995): Valuing Executive Stock Options med Endogen Avgang, Journal of Accounting and Economics 20, s. 193205. CrossRef Google Scholar De Temple, J. og S. 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Sveitsisk institutt for bank og finans St. Gallen St. Gallen St. Sveits Sveits Om denne artikkelen Hvordan verdier Medarbeideropsjoner Universitetet i Toronto - Rotman Management School En av argumentene som ofte brukes mot kostnadsutgifter til ansatte er at det å beregne virkelig verdi på det tidspunkt de er gitt, er svært vanskelig. Denne artikkelen presenterer en tilnærming til å beregne verdien av ansatteopsjoner som er praktisk, enkel å implementere og teoretisk lyd. Det vurderer eksplisitt opptjeningsperioden, muligheten for at ansatte vil forlate selskapet i løpet av opsjonsperioden, manglende evne til ansatte til å handle sine opsjoner og de relevante utvanningsproblemene. Denne tilnærmingen er en forbedring av den tilnærmingen som foreslås i regnskapsstandardens revisjonsberetning nr. 123 fordi det ikke krever en vilkårlig reduksjon i alternativets levetid for å tillate tidlig trening forårsaket av at ansatte ikke kan handle deres muligheter. 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Diermeier, 2005, Husk alderen og hensikten med vårt yrke, Financial Analysts Journal. 2005-novemberDesember Volum 61 s. 78-79 John Dobson, 2005, Monkey Business: En nydarwinistisk tilnærming til etikkoder, Financial Analysts Journal. 2005-MayJune Volum 61 s. 59-64 Alfred Rappaport, 2005, The Economics of Short-Term Prestasjon Obsession, Financial Analysts Journal. 2005-MayJune Volum 61 s. 65-79 Don Ezra, 2005, Pensjonsinntekter Garantier er dyre, Financial Analysts Journal. 2005-novemberDesember Volum 61 s. 74-77 Ser-Huang Poon. Clive W. J. Granger, 2005, Praktiske problemer i prognosevolatilitet, Financial Analysts Journal. 2005-januarFebruary Volum 61 s. 45-56 Dr. Moshe A. Milevsky. Chris Robinson, 2005, En bærekraftig utgifter uten simulering, Financial Analyst Journal. 2005-novemberDesember Volum 61 s. 89-100 Manuel Ammann, Ralf Seiz, 2004, Valuing Employee Stock Options: Har modellen, Financial Analysts Journal. 2004-septemberOctober Volum 60 s. 21-37 Richard Roll, 2004, Empirical TIPS, Financial Analysts Journal. 2004-januarFebruary Volum 60 s. 31-53 Conrad S. Ciccotello, C. Terry Grant, Gerry H. Grant, 2004, Virkning av ansattes aksjeopsjoner på kontantstrøm, Financial Analyst Journal. 2004- Volum 60 s. 39-46 John Hull, Alan White, 2004, Slik Value Employee Stock Options, Financial Analyst Journal. 2004-januarFebruary Volum 60 s. 114-119 Glyn A. Holton 2004, Definere Risk, Financial Analysts Journal. 2004-novemberDesember Volum 60 s. 19-25 Jose Menchero 2004, Multiperiod Arithmetic Attribution, Financial Analysts Journal. 2004-juli august volum 60 s. 76-91 W. Brian Barrett, Thomas F. Gosnell, Andrea J. Heuson, 2004, Term-Structure Factor Shifts og Economic News, Financial Analyst Journal. 2004-septemberOctober Volum 60 s. 81-94 Paul Irvine, Paul J. Simko, Siva Nathan, 2004, Asset Management og Analysts Forecasts, Financial Analyst Journal. 2004-MayJune Volum 60 s. 67-78 John A. Doukas, Chansog (Francis) Kim, Christos Pantzalis, 2004, Divergerende meninger og Verdien av Verdipapirer, Financial Analyst Journal. 2004-novemberDesember Volum 60 s. 55-64 Stphanie Desrosiers, Jean-Franois LHer, Jean-Franois Plante, 2004, Style Management i Equity Country Allocation, Financial Analyst Journal. 2004-novemberDesember Volum 60 s. 40-54 Andrew Ang, Geert Bekaert, 2004, Hvordan Regimer påvirker Asset Allocation, Financial Analyst Journal. 2004- Volum 60 s. 86-99 S. Kothari, Jay Shanken, 2004, Asset Allocation med Inflasjonsbeskyttede Obligasjoner, Financial Analyst Journal. 2004-januarFebruar Volum 60 54-70 Michael Stutzer, 2004, Asset Allocation uten unobservable Parameters, Financial Analysts Journal. 2004-septemberOctober Volum 60 s. 38-51 Wenling Lin, Lisa Kopp, Phillip Hoffman, Mark Thurston, 2004, Endring av risikoer i Global Equity Portfolios, Financial Analysts Journal. 2004-januarFebruary Volum 60 s. 87-99 Louis K. C. Chan, Josef Lakonishok, 2004, Value and Growth Investing: Gjennomgang og oppdatering, Financial Analysts Journal. 2004-januarFebruary Volum 60 s. 71-86 Charles P. Jones, Jack W. Wilson, 2004, The Changing Nature of Stock og Obligasjonsvolatilitet, Financial Analysts Journal. 2004-januarFebruary Volum 60 s. 100-113 Turan G. Bali, Nusret Cakici, 2004, Value at Risk og forventet avkastning, Financial Analyst Journal. 2004- Volum 60 s. 57-73 Meir Statman, 2004, The Diversification Puzzle, Financial Analysts Journal. 2004-juli august volum 60 s. 44-53 Hatice Uzun, Samuel H. Szewczyk, Raj Varma, 2004, styrets sammensetning og bedriftsbedrift, finansanalytiker journal. 2004-MayJune Volum 60 s. 33-43 Meir Statman, 2004, Fairness Outside the Cocoon, Financial Analysts Journal. 2004-novemberDesember Volum 60 s. 34-39 Chun I. Lee, Leonard Rosenthal, Kimberly Gleason, 2004, Effekt av forskrift FD på asymmetrisk informasjon, Financial Analysts Journal. 2004-MayJune Volum 60 s. 79-89 Laurence B. Siegel, M. Barton Waring, 2004, TIPS, Dual Duration, og pensjonsplanen, Financial Analysts Journal. 2004-septemberOctober Volum 60 s. 52-64 Robert Ferguson, Dean Leistikow, John R. Powers, 2003, Er Insurance Business Viable, Financial Analysts Journal. 2003- volum 59 s. 30-41 Sue Visscher, Greg Filbeck, 2003, Dividend-Yield Strategies i det canadiske aksjemarkedet, Financial Analyst Journal. 2003-januarFebruary Volum 59 s. 99-106 Zvi Bodie, Robert C. Merton, 2003, Tanker om fremtiden: Livssyklus Investering i teori og praksis, Finansanalytiker Journal. 2003-januarFebruary Volum 59 s. 24-29 Peter L. Bernstein, 2003, Investeringspunkter: Investeringsforvaltning I morgen, Financial Analysts Journal. 2003- volum 59 s. 18-23 Michal Dewally, 2003, Internet Investeringsråd: Investering med Salt of the Salt, Financial Analysts Journal. 2003- volum 59 s. 65-77 Eric Jacquier Alex Kane Alan J. Marcus 2003, Geometrisk eller Aritmetisk Betydning: En revurdering, Financial Analysts Journal. 2003-novemberDesember Volum 59 s. 46-53 J. A. Adkisson Don R. Fraser 2003, leser stjernene: Age Bias i Morningstar Ratings, Financial Analysts Journal. 2003-septemberOctober Volum 59 s. 24-27 R. Douglas Martin Timothy T. Simin 2003, Outlier-Resistant Estimates of Beta, Financial Analysts Journal. 2003-septemberOctober Volum 59 s. 56-69 Cornelia Paape 2003, Valutaoverlegg i ytelsesvurdering, Financial Analysts Journal. 2003-mars-april volum 59 s. 55-68 Ananth Madhavan, 2003, Russell Reconstitutions Effect, Financial Analysts Journal. 2003- volum 59 s. 51-64 Andrew L. Berkin, Jia Ye, 2003, Skattestyring, Lossing Harvesting, og HIFO Accounting, Financial Analysts Journal. 2003- Volum 59 91-102 Robert D. Arnott, 2003, Utbytte og utbyttebeskatning, Financial Analyst Journal. 2003-januarFebruar Volum 59 Martin L. Leibowitz, 2003, Den Høyre Egenkapitalrisikoen Premium Skapt, Finansanalytiker Journal. 2003-septemberOctober volum 59 28-31 J. Benson Durham, 2003, pengepolitikk og aksjekurs, Financial Analyst Journal. 2003- volum 59 s. 26-35 Lars Oxelheim, 2003, Makroøkonomiske Variabler og Corporate Performance, Financial Analysts Journal. 2003- volum 59 s. 36-50 Ulf Herold, Raimond H. Maurer, 2003, Bayesian Asset Allocation og US Domestic Bias, Financial Analysts Journal. 2003-novemberDesember Volum 59 s. 54-65 Chansog (Francis) Kim, Christos Pantzalis, 2003, GlobalIndustrial Diversification and Analyst Herding, Financial Analysts Journal. 2003-mars-april volum 59 s. 69-79 Harry M. Markowitz, Erik L. Van Dijk, 2003, Single-Period MeanVariance Analysis in a Changing World (corrected), Financial Analysts Journal . 2003-MarchApril Volume 59 p. 30-44 Philippe Jorion, 2003, Portfolio Optimization with Tracking-Error Constraints, Financial Analysts Journal . 2003-SeptemberOctober Volume 59 p. 70-82 John Dobson, 2003, Why Ethics Codes Dont Work, Financial Analysts Journal . 2003-NovemberDecember Volume 59 p. 29-34 Darrell Duffie, Alexandre Ziegler, 2003, Liquidation Risk, Financial Analysts Journal . 2003-MayJune Volume 59 p. 42-51 Honghui Chen, Vijay Singal, 2003, A December Effect with Tax-Gain Selling, Financial Analysts Journal . 2003- Volume 59 p. 78-90 External LinksHow Employees Value (Often Incorrectly) Their Stock Options One of the more intriguing changes in executive and employee compensation is the increase in the use of stock options. Although much of the discussion about stock options has focused on 8220new economy8221 companies, there has been a corresponding increase in stock options grants for more traditional firms as well. The typical explanation for the use of stock options is that these compensation vehicles enable companies to attract and retain the best employees and also provide superior incentives for employees to increase shareholder value. While these explanations seem reasonable on the surface, they hinge on the assumption that employees understand how stock options work. Yet according to recent research by Wharton professors David F. Larcker and Richard A. Lambert. employees, in fact, tend not to understand the basic economics of stock options a finding that has important implications for employees, employers, boards of directors and management consultants. Larckers and Lamberts research, based on a survey of 122 KnowledgeWharton readers conducted in March 2001, looked at what stock options cost the firm and at what value employees place on them. 8220For example, we found that some employees harbor unrealistic expectations as to what will happen to the stock price,8221 says Larcker. 8220In other words, the employees value their options more than they are theoretically worth, which can cause human resource problems as well as raise certain ethical issues.8221 An earlier survey, this one conducted in May 2000 by OppenheimerFunds Inc. came up with some of the same conclusions although its scope was more limited. The survey, based on 107 respondents who owned stock options, found, for example, that 39 of option holders said they knew 8220little8221 or 8220nothing8221 about their options and another 35 said they knew only 8220something.8221 As a strong indication of serious knowledge limitations, 11 of the respondents had allowed 8220in the money8221 options to expire, essentially rendering them worthless. Finally, 52 said they knew 8220little8221 or 8220nothing8221 about the tax implications of exercising options. A Primer on Stock Options Stock options are deceptively simple compensation contracts. When an option is exercised, its payoff rises by one dollar for each dollar the stock price is above the exercise (or strike) price. If the stock price is below the exercise price when the option matures, the option is left unexercised and its payoff is zero. What stock prices will be five to ten years in the future are, of course, unknown at the grant date. As a result, many firms rely on a valuation model to determine the cost of granting an option. One common valuation methodology is the Black-Scholes approach, which is easy to compute with widely available programs and provides a reasonable indication of the expected cost to the firm of granting a stock option. For a typical company, the Black-Scholes value of an executive stock option granted at the money where the grant price is the same as the stock price on that date 8211 is 30 to 50 of the current stock price. Although the cost to the firm can be reasonably estimated, the value of the stock option to an employee is not simply the Black-Scholes value. This is because the wealth of employees is much more highly tied to the value of the firm than is the wealth of well-diversified outside investors. Employees, who are contractually forbidden from selling their options to outside investors, therefore have less ability to hedge the risk associated with holding options, and they are more likely to exercise options early for both liquidity and risk reduction reasons. In general, the value of a stock option to a risk-averse employee can be substantially below the firms cost of granting the stock option. Thus, the value of a stock option to an employee should not exceed the Black-Scholes value of the option. Black-Scholes and other similar models provide theoretical figures for the cost of the option to the firm or the upper bound to the value of the option to the employee. However, almost nothing is known about how employees actually value their stock options. The key issue is, 8220What do employees perceive an option to be worth8221 Providing an answer to that question has profound implications for designing compensation programs. It was also one of the questions asked by the Larcker and Lambert survey, conducted with iQuantic Inc. The survey participants were managers or top-level executives from 98 different firms. The typical respondent was 36 years of age, had been employed by his or her company for five years, earned cash compensation of 135,000 and held equity in their company of 50,000. The typical respondent had been granted options three times by his current firm and had exercised options once. Given the timing of the survey, it is not surprising that stock prices of many of the respondents firms had fallen during the previous year the average one-year stock price return (volatility) preceding the survey went down 50, and the average volatility was 98. However, the respondents thought that their firms stock price during the next year would increase by an average of 96. So, despite poor recent stock price performance and high volatility, the respondents appeared very optimistic about the future. The survey asked the respondents to provide an answer to the question, 8220How much cash would your company have to offer you per option to return a fully vested stock option with seven years life remaining8221 In other words, 8220what is that option worth to you8221 Five different scenarios of exercise price and current stock price were examined (in decreasing level of value): stock options that are in the money by 100 (i. e. the current stock price is double the options exercise price), in the money by 10, at the money (i. e. the grant price is the same as the stock price at that date), out of the money by 10, and out of the money by 50 (i. e. the current stock price is half of the options exercise price). The results, shown in a graph. revealed that managers value their options substantially above the Black-Scholes value. For example, at-the-money options are valued at 50 higher than the Black-Scholes value and options that are out-of-the-money by 50 are valued at more than double the Black-Scholes value. These results, says Lambert, 8220indicate that managers do not fully understand the value of stock options or possibly their associated incentive effects.8221 Further analysis revealed that younger employees at low managerial positions have the most upward bias in the perceived values. In addition, employees who exercised options during the past year and have higher expectations for future stock price performance place higher values on their stock options. Consistent with traditional economics, employees who are highly risk averse (or have a strong dislike of volatility in their wealth) place a much higher value on in-the-money stock options and a much lower value on out-of-the-money stock options. Finally, says Larcker, there is some preliminary evidence that men do a slightly better job valuing stock options than women. In several instances multiple employees from the same firm responded to the survey. The results for a firm engaged in software development and consulting are presented as are the results for a firm engaged in computer hardware manufacturing. With some exceptions, the respondents valued their options above the upper bound computed from Black-Scholes. Moreover, these figures revealed that employees generally do understand how the value of a stock option decreases as the option falls further out of the money. The figures also demonstrated that there is substantial variation in the perceived value within managers of the same company. 8220The extent of this heterogeneity is problematic for understanding whether stock options provide the same incentives across the organization,8221 says Lambert. Implications for Firms It is difficult to believe that stock options have the desired effect on employee behavior if employees do not understand the basic economics of stock options. Clearly employers need to develop more sophisticated training programs, the researchers suggest. For example, firms need to educate employees about the expected range of value for stock options and perhaps point out that the expected value is probably less than the Black-Scholes estimate. Moreover, the training program needs to be tailored to the bias associated with specific employee characteristics. For example, younger employees in technical areas may have a different set of problems understanding stock options than senior-level managers in marketing. Then there is what Larcker calls 8220more devious behavior the idea that firms can cut back the number of options granted to employees in order to satisfy wage requirements.8221 For example, assume that the expected economic value of a stock option is 20, but the employee overvalues the same stock option at (say) 40. In addition, assume that the employee requires stock option value of 10,000 per year. How many options would satisfy the employee: 10,00040 250 Clearly, the firm is using the bias of the employee in order to pay him or her less (the employee should demand 10,00020 500 options, and not 250 options). The goal of this research is to understand how employees value stock options and to identify the factors that cause employees to over-value or under-value their options. If you are interested in surveying a broad cross-section of your employees about how they value their options, please contact David Larcker ( larckerwharton. upenn. edu ) or Richard Lambert ( lambertwharton. upenn. edu) . To get an idea about the survey, click here : To see a sample report from this survey (best viewed using the Internet Explorer browser) click here .
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