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題名 經理人薪酬及其避險行為
Executive Compensation and Hedging Behavior作者 黃怡婷
Huang, Yi Ting貢獻者 廖四郎
黃怡婷
Huang, Yi Ting關鍵詞 高階經理人薪酬
避險行為
經理人誘因
executive compensation
hedging behavior
managerial incentives日期 2012 上傳時間 1-Nov-2012 13:50:27 (UTC+8) 摘要 本研究探討經理人的風險承擔誘因與公司非以交易為目的之衍生性金融商品使用之關聯性。研究結果發現，第一，經理人之風險承擔誘因與非以交易為目的之衍生性金融商品的使用呈顯著負向關係，此結果顯示以股權為基礎之薪酬結構的確可以提高經理人之風險承擔誘因。第二，本研究比較若採不同類型之員工認股權，則指數型員工認股權較傳統型員工認股權提供較大的經理人風險承擔誘因。第三，若將股權為基礎之薪酬分為股票及員工認股權，發現經理人持有員工認股權與經理人風險承擔誘因呈正向且顯著關係；而經理人持有公司股票則與經理人風險承擔誘因呈正向關係但並不顯著。
This study examines the relation between managerial risk-taking incentives and hedging derivatives usage. First, executives’ risk-taking incentives are negatively related to the hedging derivatives holdings, the result is consistent with equity-based compensation that promotes risk taking. Second, the indexed stock options appear to create stronger risk-taking incentives than the traditional stock options. Third, managerial risk-taking incentives are significantly related to executive stock options but not stock holdings.參考文獻 Aggarwal, R.K., Samwick, A.A., 1999. The other side of the trade-off: The impact of risk on executive compensation. Journal of Political Economy 107, 65-105. Allayannis, Y., Weston, J., 2001. The use of foreign currency derivatives and firm market value. Review of Financial Studies 14, 243-276. Armstrong, C. S., Vashishtha R., 2012. Executive stock options, differential risk-taking incentives, and firm value Journal of Financial Economics 104, 70-88. Berle, A.A., Means, G.C., 1932. The modern corporation and private property. MacMillan Publishing Co., New York. Black, F., Scholes, M., 1973. The pricing of options and corporate liabilities. Journal of Political Economy 81, 637-654. Calvet, A. L., Rahman A. H., 2006. The subjective valuation of indexed stock options and their incentive effects. The Financial Review 41, 205-227. Chen, Y.R., Y. Ma, 2011. Revisiting the Risk-Taking Effect of Executive Stock Options on Firm Performance. Journal of Business Research 64, 640-648. Coles, J.L., Daniel N.D., and Naveen L., 2006. Managerial incentives and risk taking. Journal of Financial Economics 79, 431-468. Core, J., Guay, W., 1999. The use of equity grants to manage optimal equity incentive levels. Journal of Accounting & Economics 28, 151-184. Core, J., Guay, W., 2002. Estimating the value of employee stock option portfolios and their sensitivities to price and volatility. Journal of Accounting Research 40, 613-630. DeMarzo, P., Duffie, D., 1991. Corporate financial hedging with proprietary information. Journal of Economic Theory 53, 261-286. Duan, J. C., Wei, J., 2005. Executive stock options and incentive effects due to systematic risk. Journal of Banking & Finance 29, 1185-1211. Froot, K.A., Scharfstein, D.S., Stein, J.C., 1993. Risk management: Coordinating corporate investment and financing policies. Journal of Finance 48, 1629-1658. Geczy, C., Minton, B.A., Schrand, C., 1997. Why firms use currency derivatives. Journal of Finance 52, 1323-1354. Graham, J. R., Rogers, D.A., 2002. Do firms hedge in response to tax incentives? Journal of Finance 57, 815-839. Grant, J., Markarian G., Parbonetti A., 2009. CEO risk-related incentives and income smoothing. Contemporary Accounting Research 26, 1029-1065. Guay, W., Kothari, S.P., 2003. How much do firms hedge with derivatives? Journal of Financial Economics 70, 423-461. Guay, W.R., 1999. The sensitivity of CEO wealth to equity risk: An analysis of the magnitude and determinants. Journal of Financial Economics 53, 43-71. Johnson, S.A., Tian, Y.S., 2000. Indexed executive stock options. Journal of Financial Economics 57, 35-64. Kempf, A., Ruenzi, S., Thiele, T., 2009, Employment risk, compensation incentives, and managerial risk taking: Evidence from the mutual fund industry. Journal of Financial Economics 92, 92-108. Knopf, J., Nam, J., Thornton, J., 2002. The volatility and price sensitivities of managerial stock option portfolios and corporate hedging. Journal of Finance 57, 801-813. Low, A., 2009. Managerial risk taking behavior and equity-based compensation. Journal of Financial Economics 92, 470-490. Merton, R.C., 1973. Theory of rational option pricing. Bell Journal of Economics and Management Science 4, 141-183. Nance, D.R., Smith, C.W., Smithson, C.W., 1993. On the determinants of corporate hedging. Journal of Finance 48, 267-281. Pennings, J.M.E., Garcia, P., 2004. Hedging behavior in small and medium-sized enterprise: The role of unobserved heterogeneity. Journal of Banking & Finance 28, 951-978. Purnanandam, A., 2008. Financial distress and corporate risk management: Theory and evidence. Journal of Financial Economics 87, 706-739. Rajgopal, S., Shevlin, T., 2002. Empirical evidence on the relation between stock option compensation and risk taking. Journal of Accounting and Economics 33, 145-171. Rogers, D.A., 2002. Does executive portfolio structure affect risk management? CEO risk-taking incentives and corporate derivatives usage. Journal of Banking & Finance 26, 271-295. Rogers, D.A., 2005. Managerial risk-taking incentives and executive stock option repricing: A study of US casino executives. Financial Management 34, 95-121. Schrand, C., Unal, H., 1998. Hedging and coordinated risk management: Evidence from thrift conversions. Journal of Finance 53, 979-1013. Smith, C.W., Stulz, R.M., 1985. The determinants of firms’ hedging policies. Journal of Financial and Quantitative Analysis 20, 391-405. Smith, C.W., Watts, R.L., 1992. The investment opportunity set and corporate financing, dividend, and compensation policies. Journal of Financial Economics 32, 263-292. Stulz, R.M., 1984. Optimal hedging policies. Journal of Financial and Quantitative Analysis 19, 127-140. Tufano, P., 1996. Who manages risk? An empirical examination of risk management practices in the gold mining industry. Journal of Finance 51, 1097-1137. 描述 博士
國立政治大學
金融研究所
98352502
101資料來源 http://thesis.lib.nccu.edu.tw/record/#G0098352502 資料類型 thesis dc.contributor.advisor 廖四郎 zh_TW dc.contributor.author (Authors) 黃怡婷 zh_TW dc.contributor.author (Authors) Huang, Yi Ting en_US dc.creator (作者) 黃怡婷 zh_TW dc.creator (作者) Huang, Yi Ting en_US dc.date (日期) 2012 en_US dc.date.accessioned 1-Nov-2012 13:50:27 (UTC+8) - dc.date.available 1-Nov-2012 13:50:27 (UTC+8) - dc.date.issued (上傳時間) 1-Nov-2012 13:50:27 (UTC+8) - dc.identifier (Other Identifiers) G0098352502 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/55112 - dc.description (描述) 博士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融研究所 zh_TW dc.description (描述) 98352502 zh_TW dc.description (描述) 101 zh_TW dc.description.abstract (摘要) 本研究探討經理人的風險承擔誘因與公司非以交易為目的之衍生性金融商品使用之關聯性。研究結果發現，第一，經理人之風險承擔誘因與非以交易為目的之衍生性金融商品的使用呈顯著負向關係，此結果顯示以股權為基礎之薪酬結構的確可以提高經理人之風險承擔誘因。第二，本研究比較若採不同類型之員工認股權，則指數型員工認股權較傳統型員工認股權提供較大的經理人風險承擔誘因。第三，若將股權為基礎之薪酬分為股票及員工認股權，發現經理人持有員工認股權與經理人風險承擔誘因呈正向且顯著關係；而經理人持有公司股票則與經理人風險承擔誘因呈正向關係但並不顯著。 zh_TW dc.description.abstract (摘要) This study examines the relation between managerial risk-taking incentives and hedging derivatives usage. First, executives’ risk-taking incentives are negatively related to the hedging derivatives holdings, the result is consistent with equity-based compensation that promotes risk taking. Second, the indexed stock options appear to create stronger risk-taking incentives than the traditional stock options. Third, managerial risk-taking incentives are significantly related to executive stock options but not stock holdings. en_US dc.description.tableofcontents Chapter 1. Introduction 1 Chapter 2. Literature review 9 2.1 CEO compensation and managerial risk-taking incentives 9 2.2 The types of executive stock options 13 Chapter 3. Methodology 18 3.1 Model 18 3.2 Data 25 Chapter 4. Empirical results 27 4.1 Hedging behavior 31 4.2 Managerial risk-taking incentives 35 Chapter 5. Conclusions 39 References 42 Appendix 48 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0098352502 en_US dc.subject (關鍵詞) 高階經理人薪酬 zh_TW dc.subject (關鍵詞) 避險行為 zh_TW dc.subject (關鍵詞) 經理人誘因 zh_TW dc.subject (關鍵詞) executive compensation en_US dc.subject (關鍵詞) hedging behavior en_US dc.subject (關鍵詞) managerial incentives en_US dc.title (題名) 經理人薪酬及其避險行為 zh_TW dc.title (題名) Executive Compensation and Hedging Behavior en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Aggarwal, R.K., Samwick, A.A., 1999. The other side of the trade-off: The impact of risk on executive compensation. Journal of Political Economy 107, 65-105. Allayannis, Y., Weston, J., 2001. The use of foreign currency derivatives and firm market value. Review of Financial Studies 14, 243-276. Armstrong, C. S., Vashishtha R., 2012. Executive stock options, differential risk-taking incentives, and firm value Journal of Financial Economics 104, 70-88. Berle, A.A., Means, G.C., 1932. The modern corporation and private property. MacMillan Publishing Co., New York. Black, F., Scholes, M., 1973. The pricing of options and corporate liabilities. Journal of Political Economy 81, 637-654. Calvet, A. L., Rahman A. H., 2006. The subjective valuation of indexed stock options and their incentive effects. The Financial Review 41, 205-227. Chen, Y.R., Y. Ma, 2011. Revisiting the Risk-Taking Effect of Executive Stock Options on Firm Performance. Journal of Business Research 64, 640-648. Coles, J.L., Daniel N.D., and Naveen L., 2006. Managerial incentives and risk taking. Journal of Financial Economics 79, 431-468. Core, J., Guay, W., 1999. The use of equity grants to manage optimal equity incentive levels. Journal of Accounting & Economics 28, 151-184. Core, J., Guay, W., 2002. Estimating the value of employee stock option portfolios and their sensitivities to price and volatility. Journal of Accounting Research 40, 613-630. DeMarzo, P., Duffie, D., 1991. Corporate financial hedging with proprietary information. Journal of Economic Theory 53, 261-286. Duan, J. C., Wei, J., 2005. Executive stock options and incentive effects due to systematic risk. Journal of Banking & Finance 29, 1185-1211. Froot, K.A., Scharfstein, D.S., Stein, J.C., 1993. Risk management: Coordinating corporate investment and financing policies. Journal of Finance 48, 1629-1658. Geczy, C., Minton, B.A., Schrand, C., 1997. Why firms use currency derivatives. Journal of Finance 52, 1323-1354. Graham, J. R., Rogers, D.A., 2002. Do firms hedge in response to tax incentives? Journal of Finance 57, 815-839. Grant, J., Markarian G., Parbonetti A., 2009. CEO risk-related incentives and income smoothing. Contemporary Accounting Research 26, 1029-1065. Guay, W., Kothari, S.P., 2003. How much do firms hedge with derivatives? Journal of Financial Economics 70, 423-461. Guay, W.R., 1999. The sensitivity of CEO wealth to equity risk: An analysis of the magnitude and determinants. Journal of Financial Economics 53, 43-71. Johnson, S.A., Tian, Y.S., 2000. Indexed executive stock options. Journal of Financial Economics 57, 35-64. Kempf, A., Ruenzi, S., Thiele, T., 2009, Employment risk, compensation incentives, and managerial risk taking: Evidence from the mutual fund industry. Journal of Financial Economics 92, 92-108. Knopf, J., Nam, J., Thornton, J., 2002. The volatility and price sensitivities of managerial stock option portfolios and corporate hedging. Journal of Finance 57, 801-813. Low, A., 2009. Managerial risk taking behavior and equity-based compensation. Journal of Financial Economics 92, 470-490. Merton, R.C., 1973. Theory of rational option pricing. Bell Journal of Economics and Management Science 4, 141-183. Nance, D.R., Smith, C.W., Smithson, C.W., 1993. On the determinants of corporate hedging. Journal of Finance 48, 267-281. Pennings, J.M.E., Garcia, P., 2004. Hedging behavior in small and medium-sized enterprise: The role of unobserved heterogeneity. Journal of Banking & Finance 28, 951-978. Purnanandam, A., 2008. Financial distress and corporate risk management: Theory and evidence. Journal of Financial Economics 87, 706-739. Rajgopal, S., Shevlin, T., 2002. Empirical evidence on the relation between stock option compensation and risk taking. Journal of Accounting and Economics 33, 145-171. Rogers, D.A., 2002. Does executive portfolio structure affect risk management? CEO risk-taking incentives and corporate derivatives usage. Journal of Banking & Finance 26, 271-295. Rogers, D.A., 2005. Managerial risk-taking incentives and executive stock option repricing: A study of US casino executives. Financial Management 34, 95-121. Schrand, C., Unal, H., 1998. Hedging and coordinated risk management: Evidence from thrift conversions. Journal of Finance 53, 979-1013. Smith, C.W., Stulz, R.M., 1985. The determinants of firms’ hedging policies. Journal of Financial and Quantitative Analysis 20, 391-405. Smith, C.W., Watts, R.L., 1992. The investment opportunity set and corporate financing, dividend, and compensation policies. Journal of Financial Economics 32, 263-292. Stulz, R.M., 1984. Optimal hedging policies. Journal of Financial and Quantitative Analysis 19, 127-140. Tufano, P., 1996. Who manages risk? An empirical examination of risk management practices in the gold mining industry. Journal of Finance 51, 1097-1137. zh_TW
