The Pricing of Risk and Sentiment: A Study of Executive Stock Options
研究了情绪对高管股票期权定价的影响，发现高管对期权的估值比布莱克-舒尔斯模型高出48%，这源于12%的情绪溢价，表明高管存在高度过度自信。
Option pricing models accounting for illiquidity generally imply the options are valued at a discount to the Black‐Scholes value. Our model considers the role of sentiment, which offsets illiquidity. Using executive stock options and compensation data from 1992 to 2004 for S&P 1500 firms, we find that executives value employee stock options (ESOs) at a 48% premium to the Black‐Scholes value. These premia are explained by a sentiment level of 12% in risk‐adjusted, annualized return, suggesting a high level of executive overconfidence. Subjective value relates negatively to illiquidity and idiosyncratic risk, and positively to sentiment in all specifications, consistent with the offsetting roles of sentiment and risk aversion.