Financial Management (Wiley-Blackwell). Volume 42, Issue 1 Spring 2013 Pages 79–99

风险和情绪的定价：基于高管股票期权的研究

作者：Charles Chang (Shanghai Jiao Tong University), Li-jiun Chen, Cheng-der Fuh (National Central University and Academia Sinica)

摘要：考虑流动性不足从而进行期权定价的模型通常意味着期权价值低于Black-Scholes价值。我们的模型考虑了情绪的作用，它抵消了流动性不足。使用从1992年到2004年的标准普尔1500公司的高管股票期权和薪酬数据，我们发现高管们对于员工股票期权（ESO）的估价比Black-Scholes模型的定价高出48%。这一溢价可以用风险调整后的年化12%的情绪水平解释，这意味着高管过度自信的水平很高。主观价值与非流动性和特质风险呈负相关，对所有规范的情绪都是正相关，这与情绪和风险厌恶的抵消作用一致。

The Pricing of Risk and Sentiment: A Study of Executive Stock Options

Charles Chang (Shanghai Jiao Tong University), Li-jiun Chen, Cheng-der Fuh (National Central University and Academia Sinica)

ABSTRACT

Option pricing models accounting for illiquidity generally imply the options are valued at a discount to the Black-Scholes value. Our model considers the role of sentiment, which offsets illiquidity. Using executive stock options and compensation data from 1992 to 2004 for S&P 1500 firms, we find that executives value employee stock options (ESOs) at a 48% premium to the Black-Scholes value. These premia are explained by a sentiment level of 12% in risk-adjusted, annualized return, suggesting a high level of executive overconfidence. Subjective value relates negatively to illiquidity and idiosyncratic risk, and positively to sentiment in all specifications, consistent with the offsetting roles of sentiment and risk aversion.

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/j.1755-053X.2012.01216.x/full

翻译：孙雨琦