标题：Estimation of Employee Stock Option Exercise Rates and Firm Cost

汇报人：Jennifer N. Carpenter (New York University)

功夫：2012年7月13日（周五）10:00-11:30am

地址：拉斯维加斯9888酒店一楼K02室

提要：Despite the change in their accounting treatment, options remain a major component of corporate compensation. Black-Scholes-based valuation approximations used in practice are problematic because they ignore key features of employee exercise patterns. This paper is the first to develop an empirical specification that properly accommodates fractional exercise and is suitable as a basis for valuation. Using a GMM-based methodology that is robust to heteroskedasticity and correlation across exercises, we estimate the rate of voluntary option exercise as a function of the stock-price path and various firm and option-holder characteristics in a sample of option grants to 521,123 employees at 104 publicly traded firms between 1981 and 2009. We use the estimated exercise function to value employee options, analyze the effects of firm and option characteristics, and test the implications of portfolio theory. We show that the Black-Scholes-based methods used in practice can create systematic biases.

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