Do Stock Options Overcome Managerial Risk Aversion? Evidence from Exercises of Executive Stock Options
研究发现高管提前行权的概率随股票波动率增加而降低，表明期权授予提升了高管的风险偏好，且该效应主要由特质波动驱动。
We report that the probability that executives exercise options early decreases with the volatility of the underlying stock return. We interpret this to mean that executives’ subjective option value increases with volatility and that option grants increase executives’ risk appetite. Further decomposition reveals that the results are most pronounced for idiosyncratic volatility, consistent with our conjecture that executives believe they can better predict or influence the resolution of idiosyncratic uncertainty than systematic uncertainty and, thus, favor the former. Data are available at http://dx.doi.org/10.1287/mnsc.2016.2495 . This paper was accepted by Wei Jiang, finance.