The Volatility and Price Sensitivities of Managerial Stock Option Portfolios and Corporate Hedging
利用布莱克-舒尔斯模型估计经理人股票期权组合对股价波动率和股价的敏感性，检验经理人风险偏好与公司对冲行为的关系。
ABSTRACT We use estimates of the Black—Scholes sensitivity of managers' stock option portfolios to stock return volatility and the sensitivity of managers' stock and stock option portfolios to stock price to test the relationship between managers' risk preferences and hedging activities. We find that as the sensitivity of managers' stock and stock option portfolios to stock price increases, firms tend to hedge more. However, as the sensitivity of managers' stock option portfolios to stock return volatility increases, firms tend to hedge less.