Employee Stock Options, Equity Valuation, and the Valuation of Option Grants Using a Warrant‐Pricing Model
研究如何使用权证定价方法将员工股票期权纳入股权估值，并考虑其对期权授予公允价值估计的稀释效应，发现忽略稀释会导致估值偏高6%。
ABSTRACT We investigate the use of a warrant‐pricing approach to incorporate employee stock options (ESOs) into equity valuation and to account for the dilutive effect of ESOs in the valuation of option grants for financial reporting purposes. Our valuation approach accounts for the jointly determined nature of ESO and shareholder values. The empirical results show that our stock price estimate exhibits lower prediction errors and higher explanatory powers for actual share price than does the traditional stock price estimate. We use our valuation approach to assess the implications of dilution on the fair‐value estimates of ESO grants. We find that the fair value is overstated by 6% if we ignore the dilutive feature of ESOs. Furthermore, this bias is larger for firms that are heavy users of ESOs, small, and R&D intensive, and for firms that have a broad‐based ESO compensation plan.