第二十三章 期权与公司理财：推广与应用

McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.23-0ExecutiveSummary•ThischapterextendstheanalysisofoptionscontainedinChapter22.•Wedescribefourtypesofoptionsfoundincommoncorporatefinancedecisions.–Executivestockoptions–Theoptiontoexpandembeddedinastart-up.–Theoptioninsimplebusinesscontracts.–Theoptiontoshutdownandreopenaproject.McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.23-1ChapterOutline23.1ExecutiveStockOptions23.2ValuingaStartUp23.3MoreontheBinomialModel23.4ShutdownandReopeningDecisions23.5SummaryandConclusionsMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.23-223.1ExecutiveStockOptions•ExecutiveStockOptionsexisttoaligntheinterestsofshareholdersandmanagers.•ExecutiveStockOptionsarecalloptions(technicallywarrants)ontheemployer’sshares.–Inalienable–Typicalmaturityis10years.–Typicalvestingperiodis3years.–Mostincludeimplicitresetprovisiontopreserveincentivecompatibility.•ExecutiveStockOptionsgiveexecutivesanimportanttaxbreak:grantsofat-the-moneyoptionsarenotconsideredtaxableincome.(Taxesaredueiftheoptionisexercised.)McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.23-3ValuingExecutiveCompensation•FASBallowsfirmstorecordzeroexpenseforgrantsofat-the-moneyexecutivestockoptions.•Howevertheeconomicvalueofalong-livedcalloptionisenormous,especiallygiventhepropensityoffirmstoresettheexercisepriceafterdropsinthepriceofthestock.•Duetotheinalienability,theoptionsareworthlesstotheexecutivethantheycostthecompany.–Theexecutivecanonlyexercise,notsellhisoptions.Thushecannevercapturethespeculativevalue—onlytheintrinsicvalue.•This“deadweightloss”isovercomebytheincentivecompatibilityforthegrantor.McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.23-4TopStockOptionGrantsCompanyCEOStockOptionAwardCitigroup,Inc.SanfordWeill$351,319,000AmericanExpressHarveyGolub$134,102,000CiscoSystems,Inc.JohnChambers$132,100,000BankofAmericaHughMcCollJr.$104,300,000HoneywellInc.MichaelBosignore$121,496,000ALCOAPaulO’Neill$96,353,000McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.23-523.2ValuingaStart-Up•Animportantoptionistheoptiontoexpand.•Imagineastart-upfirm,Campusteria,Inc.whichplanstoopenprivatediningclubsoncollegecampuses.•Thetestmarketwillbeyourcampus,andiftheconceptprovessuccessful,expansionwillfollownationwide.•Nationwideexpansionwilloccurinyearfour.•Thestart-upcostofthetestdiningclubisonly$30,000(thiscoversleaseholderimprovementsandotherexpensesforavacantrestaurantnearcampus).McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.23-6CampusteriaproformaincomestatementInvestmentYear0Years1-4Revenues$60,000VariableCosts($42,000)FixedCosts($18,000)Depreciation($7,500)Pretaxprofit($7,500)Taxshield34%$2,550NetProfit–$4,950CashFlow–$30,000$2,550Weplantosell25mealplansat$200permonthwitha12-monthcontract.Variablecostsareprojectedtobe$3,500permonth.Fixedcosts(leasepayment)areprojectedtobe$1,500permonth.Wecandepreciateourcapitalizedleaseholderimprovements.84.916,21$)10.1(550,2$000,30$41ttNPVMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.23-723.2ValuingaStart-Up•NotethatwhiletheCampusteriatestsitehasanegativeNPV,weareclosetoourbreak-evenlevelofsales.•Ifweexpand,weprojectopening20Capusteriasinyearfour.•Thevalueoftheprojectisintheoptiontoexpand.•WewillusetheBlack-ScholesoptionpricingmodeltovaluethisoptionMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.23-823.2ValuingaStart-UpwithBlack-ScholesTheBlack-ScholesModelis)N()N(210dEedSCrTWhereC0=thevalueofaEuropeanoptionattimet=0r=therisk-freeinterestrate.TTσrESd)2()/ln(21Tdd12N(d)=Probabilitythatastandardized,normallydistributed,randomvariablewillbelessthanorequaltod.TheBlack-ScholesModelallowsustovalueoptionsintherealworldjustaswehavedoneinthe2-stateworld.McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.23-923.2ValuingaStart-UpwithBlack-ScholesWeneedtofindthevalueofafour-yearcalloptiononchainwithanexercisepriceof$600,000=$30,000×20Theinterestrateavailableisr=10%.Theoptionmaturityisfouryears.Thevolatilityoftheunderlyingassetis30%perannum.Thecurrentvalueoftheunderlyingassetsis$110,418418,110$)10.1(14.663,161$)10.1()10.1(550,2$204441ttMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.23-1023.2ValuingaStart-UpwithBlack-ScholesLet’stryourhandagainatusingthemodel.Ifyouhaveacalculatorhandy,followalong.Then,TTσrESd)5.()/ln(21Firstcalculated1andd245.2430.08544.112Tdd8544.1430.04))30.0(5.10(.)000,600/418,110ln(21dMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.23-1123.2ValuingaStart-UpwithBlack-ScholesN(d1)=N(-1.8544)=0.032N(d2)=N(-2.45)=0.007)N()N(210dEedSCrT03.718$007.0000,600032.0418,110$0410.0CeCTheoptiontoexpand,whilevaluable,isnotasgreatasthenegativeNPVofopeningthetrialCampusteria.Soweshouldnotpro