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Yes / Guided by academic literature, industry practice and policy recommendations, we analyze a wide range of option and restricted stock plans with exercise and vesting conditions that may be contingent on stock price performance. To assess the effectiveness of these plans at attracting and providing incentives to executives, we create compensation plans with fixed firm cost and executive valuation and calculate their expected total lifetime incentives. We show that performance vesting targets provide the least cost effective incentives, performance exercise targets provide the largest risk incentives, option plans are generally superior to restricted stock plans, and calendar vesting is only efficient up to a maximum of three years. Performance exercise targets can increase the expected total lifetime incentives provided by compensation plans, but in general, standard options with short vesting periods provide the most cost effective pay-for-performance incentives.

A number of studies have investigated the performance of common stocks recommended in The Value Line Investment Survey. Little attention, however, has been given to the performance of call options recommended in Value Line Options. This study has two major purposes. The first is to determine whether an investor acting on Value Line’s call purchase recommendations and following Value Line’s prescribed strategy earns abnormal returns, and if so, to identify the portion of the abnormal return that is associated with purchasing calls that are undervalued relative to the prevailing stock price and the portion that is due to the undervaluation of the underlying stock. The second major purpose is to determine whether there is a correlation between Value Line’s option and stock rankings and returns performance. Underlying both of these purposes is a test of the superiority of Value Line’s estimates of future stock price variance relative to volatilities implied by prevailing market stock and call option prices. The results indicate that abnormal returns are earned by following the prescribed strategy but that abnormal returns are eliminated after consideration of transactions costs. There is, however, a strong and persistent correlation between option rankings and returns performance. In general, the results are consistent with the relative superiority of Value Line’s estimates of future stock price variance. / Ph. D.

by Veronica Ho Pui Kwan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 99-103). / Prologue --- p.1 / Chapter Essay I: --- Examination of the GARCH Option Pricing Model in the case of Hang Seng Index Option / Chapter 1. --- Introduction --- p.4 / Chapter 2. --- Holes' in the Black-Scholes Model --- p.7 / Chapter 3. --- A Big 'Hole' -- Varying Volatility --- p.14 / Chapter 4. --- A Remedy : the GARCH Option Pricing Model --- p.31 / Chapter 5. --- Research Methodology and Data --- p.38 / Chapter 6. --- Empirical Results --- p.50 / Chapter 7. --- Conclusion --- p.67 / Chapter Essay II: --- Barrier Options / Chapter 1. --- Introduction on Barrier Option --- p.70 / Chapter 2. --- Pricing Models --- p.74 / Chapter 3. --- Hedging of Barrier Option --- p.81 / Chapter 4. --- Examination of a Down-and-Out Put Option --- p.88 / References --- p.99

Ce travail doctoral traite de l’influence du contrat de rémunération du dirigeant, et plus particulièrement des caractéristiques incitatives de la rémunération en titres, sur les décisions prises par l’entreprise. Nous nous proposons en particulier d’apprécier l’effet de l’articulation des incitations financières à la prise de risque et à la performance boursière sur le niveau de risque de l’entreprise. Le travail, essentiellement empirique, s’appuie sur un échantillon d’entreprises américaines issu des bases de données Compustat et Execucomp sur la période 1992-2005. Quatre dimensions du risque de l’entreprise sont successivement abordées. Un premier chapitre se propose de définir de manière exploratoire un lien possible entre les caractéristiques incitatives de la rémunération du dirigeant et le niveau de contrainte de financement auquel l’entreprise fait face. Un deuxième chapitre se propose d’analyser empiriquement l’influence des caractéristiques incitatives de la rémunération du dirigeant sur le risque d’investissement notamment appréhendé par la R&D. Dans un troisième chapitre, nous nous intéressons aux déterminants du niveau d’endettement recherché par l’entreprise. Nous utilisons, pour ce faire, un modèle d’ajustement dynamique. Enfin dans un quatrième et dernier chapitre, nous analysons les déterminants du risque de défaut de l’entreprise mesuré par l’indicateur de distance au défaut. Le résultat essentiel de ce travail doctoral est que les caractéristiques incitatives à la prise de risque ne conduisent le dirigeant à prendre du risque que si, simultanément, la sensibilité de sa rémunération à la valeur créée est suffisante. / The purpose of this work is to analyze the influence of CEO’s compensation package on the risk taking behavior of the firm. We focus on the financial incentives contained in equity based compensation and their interaction. Our sample consists of US firms for the period 1992-2005. The data come from the Compustat and Execucomp databases. The purpose of the first chapter explores the link between CEO’s compensation and the financial constraints of the firm. In a second chapter, we empirically analyze the effect of financial incentives on the risk of investment. We use Research and Development expenses level as a proxy of the risk of investment. In a third chapter, we focus on target debt leverage level determinants using a dynamic adjustment model. In the last chapter we analyze default risk determinants. The main result of this work is that the efficiency of risk incentive is highly dependent of CEO’s performance incentive reaching a given threshold.

Magister Scientiae - MSc / We investigate some simulation-based approaches for the valuing of the employee stock options. The mathematical models that deal with valuation of such options include the work of Jennergren and Naeslund [L.P Jennergren and B. Naeslund, A comment on valuation of executive stock options and the FASB proposal, Accounting Review 68 (1993) 179-183]. They used the Black and Scholes [F. Black and M. Scholes, The pricing of options and corporate liabilities, Journal of Political Economy 81(1973) 637-659] and extended partial differential equation for an option that includes the early exercise. Some other major relevant works to this mini thesis are Hemmer et al. [T Hemmer, S. Matsunaga and T Shevlin, The influence of risk diversification on the early exercise of employee stock options by executive officers, Journal of Accounting and Economics 21(1) (1996) 45-68] and Baril et al. [C. Baril, L. Betancourt, J. Briggs, Valuing employee stock options under SFAS 123 R using the Black-Scholes-Merton and lattice model approaches, Journal of Accounting Education 25 (1-2) (2007) 88-101]. The underlying assets are studied under the GARCH (generalized autoregressive conditional heteroskedasticity) effects. Particular emphasis is made on the American style employee stock options. / South Africa

2005年10月，中國政府發布“國務院批轉證監會關於提高上市公司品質意見的通知“。它允許和建議上市公司探索利用股權補償，以激勵員工。由於中國股市和股權補償的歷史很短，以及對企業的激勵機制的重要性。我們研究和發現公司治理和採納該計劃的可能性之間的關係是混合的。而具有較高的營業利潤/資產比率和淨利潤/總資產比率的公司更可能採用股權補償。我們還發現，通過在企業層面測量累積異常收益率（CAR），股權補償的公佈有積極的市場反應。此外，如果最大的部分限制性股份或購股權授予僱員工會委員或在公司的核心員工，市場反應更是積極。 / In October 2005, the Chinese government released "Notice about the State Council of China approving China Securities Regulatory Commission to improve qualities of listed firms". It allows and suggests listed firms to explore the use of equity-based compensation in order to motivate employees. In this thesis, we find that the relationship between corporate governance and the likelihood of adopting the scheme is mixed. Firms with higher ratios of operating profits to assets and net profit to total assets are more likely to adopt equity-based compensation. We also discover positive market responses by measuring the cumulative abnormal return (CAR) to the announcement of equity-based compensation at the firm level. Moreover, if a larger portion of the restricted shares or options is granted to the groups of employees which are union committee members or core employees in the firm, the market response is much more positive and the CAR is larger in magnitude. / Detailed summary in vernacular field only. / Ko, Ka Yin. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references (leaves 32-33). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts also in Chinese. / Cover Page --- p.1 / Abstract --- p.2 / Chinese Version --- p.3 / Contents --- p.4 / Chapter 1 --- Introduction --- p.6 / Chapter 2 --- Basic idea of equity-based compensation --- p.7 / Chapter 3 --- Literature Review --- p.9 / Chapter 4 --- History and Development --- p.11 / Chapter 4.1. --- Equity-based compensation around the world --- p.11 / Chapter 4.2. --- Regulations of equity-based compensation in China --- p.12 / Chapter 5 --- Hypothesis --- p.13 / Chapter 6 --- Methodology --- p.16 / Chapter 6.1. --- Equity-based compensation in the company --- p.16 / Chapter 6.2. --- Ownership concentration and characteristics --- p.16 / Chapter 6.3. --- Legal framework --- p.17 / Chapter 6.4. --- Ownership Nature --- p.17 / Chapter 6.5. --- Board of directors’ characteristics --- p.17 / Chapter 6.6. --- Operating performance --- p.18 / Chapter 6.7. --- Industry sectors --- p.18 / Chapter 6.8. --- Equity-based compensation scheme characteristics --- p.19 / Chapter 6.9. --- Logistic model --- p.19 / Chapter 6.10. --- Event study approach --- p.21 / Chapter 7 --- Data --- p.24 / Chapter 7.1. --- Sources of Data --- p.24 / Chapter 7.2. --- Equity-based compensation and firm characteristics --- p.24 / Chapter 8 --- Empirical Results --- p.25 / Chapter 8.1. --- Factors that drive companies to implement equity-based compensation . --- p.26 / Chapter 8.1.1. --- Univariate test --- p.26 / Chapter 8.1.2. --- Logistic model --- p.26 / Chapter 8.2. --- Short-term market response --- p.27 / Chapter 8.2.1. --- Event study --- p.27 / Chapter 8.2.2. --- Univariate test --- p.28 / Chapter 8.2.3. --- Multivate OLS regressions --- p.29 / Chapter 9 --- Conclusions --- p.30 / References --- p.31 / Chapter Table 1 --- Number of equity-based compensation schemes announced by each firm in the sample period --- p.33 / Chapter Table 2 --- By year, number of firms with equity-based compensation schemes announcement in restricted share and option --- p.33 / Chapter Table 3 --- Sector distribution for equity-based compensation announced firms --- p.33 / Chapter Table 4 --- Share of restricted share or option in the equity-based compensation scheme by each group --- p.34 / Chapter Table 5 --- Descriptive statistics for firm characteristics --- p.35 / Chapter Table 6 --- Univariate test --- p.37 / Chapter Table 7 --- Logistic Model --- p.38 / Chapter Table 8 --- Cumulative abnormal returns for an event study of implementation of equity-based compensation announcements --- p.40 / Chapter Table 9 --- Abnormal returns for an event study of implementation of equity-based compensation announcements --- p.40 / Chapter Table 10 --- Descriptive statistics for firm characteristics and mean comparison of CAR between below median/ "0" group and above median/ " 1" group using t-test --- p.41 / Chapter Table 11 --- OLS regression --- p.43

published_or_final_version / Statistics / Master / Master of Philosophy

Cette thèse comprend trois chapitres. Le Chapitre 1 présente des généralités sur les stock-options et synthétise la littérature existante sur les attributions et les exercices de stock-options. Le Chapitre 2 examine le comportement d’exercice des dirigeants dans les plus grandes entreprises françaises. Les résultats fournissent des preuves de l’utilisation d’informations privées pour exercer les options loin de l’expiration. Le Chapitre 3 examine l'annonce des résultats annuels et sa relation avec la décision d’exercice des stock-options des dirigeants. Les résultats de ce chapitre indiquent que les résultats annuels sont plus susceptibles de dépasser les prévisions des analystes quand les dirigeants exercent leurs options proches de l'expiration peu de temps après les annonces. La probabilité d'annonces de résultats positifs est également plus élevée lorsque les dirigeants exercent leurs options et revendent les actions obtenues. Les résultats montrent également la capacité de synchronisation des dirigeants. Ils accélèrent les annonces de résultats quand ils doivent exercer leurs options à proximité de l'expiration, en particulier lorsqu’ils vendent les actions obtenues. Le Chapitre 3 montre que les dirigeants utilisent un niveau plus élevé d’Accruals discrétionnaires lorsqu’ils doivent exercer des options à expiration. / This dissertation contains three chapters. Chapter 1 presents a description of stock option compensation and discusses the existing literature on stock option awards and exercises. Chapter 2 investigates CEO exercise behavior in the most important French companies. The results provide evidence of information timing of option exercises. Chapter 3 examines annual earnings announcement and its relation with CEO exercise decisions. The results of this chapter indicate that earnings are more likely to exceed analyst forecasts when CEOs exercise their options close to expiry shortly after the announcements. The likelihood of positive surprise increases when option exercises are followed by stock sales. The results also show CEO timing ability. CEOs accelerate earnings announcements when they have to exercise their stock options close to expiry, especially when they sell the obtained shares. Chapter 3 shows that CEOs use a higher level of discretionary accruals when they have to exercise options that are about to expire.