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題名 員工股票選擇權之評價研究： 以日月光員工股票選擇權為例
Research on the Pricing of Employee Stock Options: Case of ASE Group Employee Stock Option作者 郭如苑
Guo, Ru-Yuan貢獻者 林士貴<br>張興華
Lin, Shih-Kuei<br>Chang, Hsing-Hua
郭如苑
Guo, Ru-Yuan關鍵詞 員工股票選擇權
最小平方蒙地卡羅模擬
Nelson-Siegel-Svensson模型
錨定效應
Employee stock option
Least square Monte Carlo simulation
Nelson-Siegel-Svensson model
Anchoring effect日期 2020 上傳時間 3-Aug-2020 17:40:09 (UTC+8) 摘要 臺灣證期局宣佈於2018年1月1日開始適用IFRS 9，根據新準則重新檢視對企業交易是否有尚未考慮周全之處。為確保財務資料的準確，有必要嚴謹的對待員工股票選擇權的定價工作，這對於新準則下公司財務管理的優化具有重大意義。考慮到員工股票選擇權在條款設定上有別於傳統選擇權的特殊之處，本文提出的員工股票選擇權評價模型在傳統選擇權評價模型的基礎上進行改進。模型考慮了利率期限結構、公司在不同時間點向投資者部分發放可行權比例、投資者可能提前行權、稀釋效應，以及投資者在行權之前會涉及到錨定效應等等。本文以日月光公司2018年發行之員工股票選擇權為例進行實證分析，分別使用本文提出之定價模型進行定價，以及按照美國財務會計準則委員會在徵求意見稿中提議的方式使用Black-Scholes模型進行定價。然後，論文比較兩模型計算結果上的差異及其背後的原因。此外,本文通過對員工股票選擇權評價模型中影響選擇權定價的關鍵因素，進行敏感度分析，並觀測本文所提出的模型是否符合選擇權價格與關鍵定價因素之間應有的關係，以此來證明本文模型在選擇權評價的邏輯關係上的正確性。
The Taiwan Securities and exchange bureau announced that IFRS 9 will be applied on January 1, 2018, and it will review whether there is any incomprehensibility in enterprise transactions according to the new standards. In order to ensure the accuracy of financial data, it is necessary to treat the pricing work of employee stock option seriously, which is of great significance for the optimization of financial management of the company under the new standards.Considering that the employee stock option is different from the traditional option in terms, the evaluation model of employee stock option proposed in this paper is improved on the basis of the traditional option evaluation model. The model takes into account the term structure of interest rate, the proportion of exercisable shares issued by companies to investors at different time points, the possibility of early exercise and dilution effect of investors, as well as the anchoring effect of investors before exercise, etc.In this paper, we take the employee stock option issued by ASE Group in 2018 as an example for empirical analysis. We use the pricing model proposed in this paper and the Black-Scholes model according to the way proposed by the FASB in the draft to price ESO respectively. Then, the paper compares the differences between the two models and the reasons behind them. In addition, this paper analyzes the sensitivity of the key factors influencing the option pricing in the employee stock option evaluation model, and observes whether the model proposed in this paper conforms to the proper relationship between the option price and the key pricing factors, so as to prove the correctness of the model in the logical relationship of option pricing.參考文獻 Gilli, M., Große, S., & Schumann, E. (2010, 3 30). Calibrating the Nelson–Siegel–Svensson model. Comisef Working Papers Series, pp. 1-23.Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Politiacal Economy, 81, pp. 637-654.Brennan, M., & Schwartz, E. (1978). Finite difference methods and jump processes arising in the pricing of contingent claims: a synthesis. Journal of Financial and Quantitative Analysis, 13(3), pp. 461-474.Bulow , J., & Shoven , J. (2005). Accounting for stock options. Stanford Graduate School of Business.Charles R. , N., & Andrew F. , S. (1987). Parsimonious modeling of yield curves. Journal of Business, 60(4), pp. 473–489.Cheung , J., Corrado, C., Chay , J., & Jung , D.-S. (2006, 6). Hurdle rate: executive stock options. Australian Journal of Management, pp. 29-40.Cox, J. C., Ross, S. A., & Rubinstein, M. (1979). Option pricing: a simplified approach. Journal of Financial Economics 7(3), pp. 229-263.Damodaran, A. (2017). Employee options, restricted stock and value. Texas, America.Ganti, A. (2019, 9 9). Employee stock ownership plan (ESOP). Retrieved from Investopedia: https://www.investopedia.com/terms/e/esop.aspHemmer, T., Matsunaga, S., & Shevlin, T. (1994, 12). Estimating the `fair value` of employee stock options with expected early exercise. Accounting Horizons, pp. 23-42.Huddart, S. (1994, 6). Employee stock options. Elsevier Journal of Accounting and Economics, pp. 1-32.Hull , J., & White , A. (2002). How to value employee stock options. University of Toronto.Kelso, L. O. (1958). The capitalist manifesto. NY: Random House.Kelso, L. O. (1967). How to turn eighty million workers into capitalists on borrowed money. NY: Random House.Kulatilaka, N., & Marcus, A. (1994, 12). Valuing employee stock options. Financial Analysts Journal, pp. 46-56.Longstaff , F. A., & Schwartz , E. S. (2001). Valuing American options by simulation: a simple least-squares approach. The Review of Financial Stlrdies Spring 2001 Vol. 14. No. I, pp. 113-147.Merton, R. (1973). Theory of rational option pricing. Journal of Economics and Management Science,4(1), pp. 141-183.Picardo, E. (2019, 7 27). Employee stock option (ESO). Retrieved from Investopedia: https://www.investopedia.com/terms/e/eso.aspRosen, C. (1998, 6 1). ESOPs or stock options: which will work for your company? Retrieved from Inc.: https://www.inc.com/articles/1998/06/15819.htmlTversky, A., & Kahneman, D. (1974). Judgment under uncertainty: heuristics and biases. Science, vol.185, pp. 1124-1130. 描述 碩士
國立政治大學
金融學系
107352042資料來源 http://thesis.lib.nccu.edu.tw/record/#G1073520421 資料類型 thesis dc.contributor.advisor 林士貴<br>張興華 zh_TW dc.contributor.advisor Lin, Shih-Kuei<br>Chang, Hsing-Hua en_US dc.contributor.author (Authors) 郭如苑 zh_TW dc.contributor.author (Authors) Guo, Ru-Yuan en_US dc.creator (作者) 郭如苑 zh_TW dc.creator (作者) Guo, Ru-Yuan en_US dc.date (日期) 2020 en_US dc.date.accessioned 3-Aug-2020 17:40:09 (UTC+8) - dc.date.available 3-Aug-2020 17:40:09 (UTC+8) - dc.date.issued (上傳時間) 3-Aug-2020 17:40:09 (UTC+8) - dc.identifier (Other Identifiers) G1073520421 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/131000 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融學系 zh_TW dc.description (描述) 107352042 zh_TW dc.description.abstract (摘要) 臺灣證期局宣佈於2018年1月1日開始適用IFRS 9，根據新準則重新檢視對企業交易是否有尚未考慮周全之處。為確保財務資料的準確，有必要嚴謹的對待員工股票選擇權的定價工作，這對於新準則下公司財務管理的優化具有重大意義。考慮到員工股票選擇權在條款設定上有別於傳統選擇權的特殊之處，本文提出的員工股票選擇權評價模型在傳統選擇權評價模型的基礎上進行改進。模型考慮了利率期限結構、公司在不同時間點向投資者部分發放可行權比例、投資者可能提前行權、稀釋效應，以及投資者在行權之前會涉及到錨定效應等等。本文以日月光公司2018年發行之員工股票選擇權為例進行實證分析，分別使用本文提出之定價模型進行定價，以及按照美國財務會計準則委員會在徵求意見稿中提議的方式使用Black-Scholes模型進行定價。然後，論文比較兩模型計算結果上的差異及其背後的原因。此外,本文通過對員工股票選擇權評價模型中影響選擇權定價的關鍵因素，進行敏感度分析，並觀測本文所提出的模型是否符合選擇權價格與關鍵定價因素之間應有的關係，以此來證明本文模型在選擇權評價的邏輯關係上的正確性。 zh_TW dc.description.abstract (摘要) The Taiwan Securities and exchange bureau announced that IFRS 9 will be applied on January 1, 2018, and it will review whether there is any incomprehensibility in enterprise transactions according to the new standards. In order to ensure the accuracy of financial data, it is necessary to treat the pricing work of employee stock option seriously, which is of great significance for the optimization of financial management of the company under the new standards.Considering that the employee stock option is different from the traditional option in terms, the evaluation model of employee stock option proposed in this paper is improved on the basis of the traditional option evaluation model. The model takes into account the term structure of interest rate, the proportion of exercisable shares issued by companies to investors at different time points, the possibility of early exercise and dilution effect of investors, as well as the anchoring effect of investors before exercise, etc.In this paper, we take the employee stock option issued by ASE Group in 2018 as an example for empirical analysis. We use the pricing model proposed in this paper and the Black-Scholes model according to the way proposed by the FASB in the draft to price ESO respectively. Then, the paper compares the differences between the two models and the reasons behind them. In addition, this paper analyzes the sensitivity of the key factors influencing the option pricing in the employee stock option evaluation model, and observes whether the model proposed in this paper conforms to the proper relationship between the option price and the key pricing factors, so as to prove the correctness of the model in the logical relationship of option pricing. en_US dc.description.tableofcontents 1 緒論 11.1研究背景與動機 11.2研究目的 31.3研究架構 41.4研究流程 52 文獻探討 62.1易與員工股票選擇權混淆的產品 62.2員工股票選擇權的評價研究 72.3美式選擇權的評價研究 83 研究方法 103.1理論基礎 103.1.1等價鞅測度定理 103.1.2停時 113.1.3錨定效應 123.1.4 Black-Scholes選擇權定價模型 123.1.5最小平方蒙地卡羅法 143.1.6 Nelson-Siegel-Svensson模型 153.2模型設定 163.2.1評價存在的關鍵問題 163.2.2模型設定 184 實證分析 234.1產品介紹 234.2參數估計 244.2.1無風險利率的估計 244.2.2預期股息收益率的估計 264.2.3錨的估計 274.2.4其他參數的設定 284.3模擬結果 294.4敏感度分析 314.4.1 ESO價格與期初股價敏感度分析 324.4.2 ESO價格與履約價格敏感度分析 344.4.3 ESO價格與股價報酬率波動度敏感度分析 354.4.4 ESO價格與股票殖利率敏感度分析 374.5用Black-Scholes模型定價產品 395 結論與未來發展 445.1結論 445.2未來發展 46參考文獻 48 zh_TW dc.format.extent 1844449 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1073520421 en_US dc.subject (關鍵詞) 員工股票選擇權 zh_TW dc.subject (關鍵詞) 最小平方蒙地卡羅模擬 zh_TW dc.subject (關鍵詞) Nelson-Siegel-Svensson模型 zh_TW dc.subject (關鍵詞) 錨定效應 zh_TW dc.subject (關鍵詞) Employee stock option en_US dc.subject (關鍵詞) Least square Monte Carlo simulation en_US dc.subject (關鍵詞) Nelson-Siegel-Svensson model en_US dc.subject (關鍵詞) Anchoring effect en_US dc.title (題名) 員工股票選擇權之評價研究： 以日月光員工股票選擇權為例 zh_TW dc.title (題名) Research on the Pricing of Employee Stock Options: Case of ASE Group Employee Stock Option en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Gilli, M., Große, S., & Schumann, E. (2010, 3 30). Calibrating the Nelson–Siegel–Svensson model. Comisef Working Papers Series, pp. 1-23.Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Politiacal Economy, 81, pp. 637-654.Brennan, M., & Schwartz, E. (1978). Finite difference methods and jump processes arising in the pricing of contingent claims: a synthesis. Journal of Financial and Quantitative Analysis, 13(3), pp. 461-474.Bulow , J., & Shoven , J. (2005). Accounting for stock options. Stanford Graduate School of Business.Charles R. , N., & Andrew F. , S. (1987). Parsimonious modeling of yield curves. Journal of Business, 60(4), pp. 473–489.Cheung , J., Corrado, C., Chay , J., & Jung , D.-S. (2006, 6). Hurdle rate: executive stock options. Australian Journal of Management, pp. 29-40.Cox, J. C., Ross, S. A., & Rubinstein, M. (1979). Option pricing: a simplified approach. Journal of Financial Economics 7(3), pp. 229-263.Damodaran, A. (2017). Employee options, restricted stock and value. Texas, America.Ganti, A. (2019, 9 9). Employee stock ownership plan (ESOP). Retrieved from Investopedia: https://www.investopedia.com/terms/e/esop.aspHemmer, T., Matsunaga, S., & Shevlin, T. (1994, 12). Estimating the `fair value` of employee stock options with expected early exercise. Accounting Horizons, pp. 23-42.Huddart, S. (1994, 6). Employee stock options. Elsevier Journal of Accounting and Economics, pp. 1-32.Hull , J., & White , A. (2002). How to value employee stock options. University of Toronto.Kelso, L. O. (1958). The capitalist manifesto. NY: Random House.Kelso, L. O. (1967). How to turn eighty million workers into capitalists on borrowed money. NY: Random House.Kulatilaka, N., & Marcus, A. (1994, 12). Valuing employee stock options. Financial Analysts Journal, pp. 46-56.Longstaff , F. A., & Schwartz , E. S. (2001). Valuing American options by simulation: a simple least-squares approach. The Review of Financial Stlrdies Spring 2001 Vol. 14. No. I, pp. 113-147.Merton, R. (1973). Theory of rational option pricing. Journal of Economics and Management Science,4(1), pp. 141-183.Picardo, E. (2019, 7 27). Employee stock option (ESO). Retrieved from Investopedia: https://www.investopedia.com/terms/e/eso.aspRosen, C. (1998, 6 1). ESOPs or stock options: which will work for your company? Retrieved from Inc.: https://www.inc.com/articles/1998/06/15819.htmlTversky, A., & Kahneman, D. (1974). Judgment under uncertainty: heuristics and biases. Science, vol.185, pp. 1124-1130. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202000960 en_US
