论经理人股票期权激励的有效性(1)

FisherSeparationTheorem,,,,1ExecutiveStockOptionESO10IncentiveStockOptionNon-qualifiedStockOptionExercisePricein-the-moneyat-the-moneyout-of-the-money102YWVoSTEPNoVoNoMax[(STEP)0](1)YYWVoWNoMax[(STEP)0]2Tt1973FischerBlackMyron.ScholesRobertC.MetronVttSttt012TNttEPtrFdtttntσtVt)]()()[(21τστ−⋅⋅−⋅−=−−dNeEPdNedSNFnFrttrttttV(3)τστσ)21()ln(21++=tFtdrEPSdd2=τστστσ−=−−+12)21()ln(ddrEPStFt3N()NoNo=N1+N2+NTVotrrttrttTttoFFnFedNeEPdNedSN−−−=−⋅⋅−⋅−⋅=∑)]()()([0τστV(4)tYtWVtW)]()()[(21τστ−⋅⋅−⋅−−−dNeEPdNedSNFnFrttrttt5trrttrttTttTttrFFnFFedNeEPdNedSNe−−−==−−⋅⋅−⋅−⋅∑∑)]()()([00τστW5120)(1⋅=∂∂dNNSVttt3()()02)(21⋅⋅−′−−=∂∂−−dNeEPrdNedSVFnFrtFtrtttττοτ40)()(′⋅⋅−⋅=∂∂−dNedSNVnFtrttttτο5()02⋅⋅=∂∂−dNeEPrVFrtFtττ2080B199741500199745%500ESO19975008319972.5692.55655106610257825100781008987531199310619931993182703199711997199787868180797975716969532182255004137176666501374003066479796591186004221519084533142150011419677766011502113199750014430603995879400562500176761960035096616246671500816300281549521101990731969198315100014.50.0001450.0000135612320001011JurgenEichbergerandIanRHarperFinancialEconomicsP140145184Black,FandM.ScholesThePricingofoptionsandCorporateLiabilitiesJournalOfPoliticalEconomy,(MayJune,1973)P637654RobertC.Merton(1973)“TheoryofRationalOptionPricing”BellJournalofEconomicsandManagementScience,4(Spring):141-183B19971500M212272771[]M211999220003199874PaulMilgromandJohnRoberts,Economics,OrganizationandManagementPrentice-hallInternationalEditions19925Black,FandM.ScholesThePricingofoptionsandCorporateLiabilitiesJournalOfPoliticalEconomy,(MayJune,1973)6RobertC.Merton(1995)“Continuous-TimeFinance”,Blackwell7RobertC.Merton(1973)“TheoryofRationalOptionPricing”BellJournalofEconomicsandManagementScience,4(Spring)8MyronS.Scholes(1998)“DerivativesinaDynamicEnvironment”TheAmericanEconomicRevieO88(June)9RobertC.Merton(1998)“ApplicationsofOption-PricingTheory:Twenty-FiveYearsLater”TheAmericanEconomicReview88(June)10JurgenEichbergerandIanRHarperFinancialEconomics,OxfordUniversityPress,1997OnEfficiencyofExecutiveStockOptionsincentivesZHENGChang-deEconomicCollegeSichuanUniversityChengduSichuan610064,ChinaAbstract:Theprincipal-agentmodelofexecutivecompensationisofcentralimportancetothemoderntheoryofthefirmandcorporategovernance.ThispaperisconcernedwithExecutiveStockOption.SomerelationbetweenExecutiveStockOptionsandCEOincentivesareexplored.westudyefficiencyofExecutiveStockOptionsincentives.Ingeneral,ExecutiveStockOptionsprovideincentivestoCEO,butthisincentivesisaffectedbymanyfactors,suchasmarketenvironment,risksofthefirm,andsoon.Keywords:ExecutivecpmpensationExecutiveStockOptionincentives.8