Equity‐Based Incentives, Risk Aversion, and Merger‐Related Risk‐Taking Behavior
研究发现CEO股权激励中的vega（财富对股价波动敏感度）与并购后股权风险负相关，且期权价内程度高时更明显；并购后风险下降导致股东财富显著减少，表明期权薪酬未必增加CEO风险承担。
Abstract We find that post‐merger equity risk is negatively related to the sensitivity of CEO wealth to stock return volatility (vega), but is concentrated in CEOs with high proportions of options and options that are more in‐the‐money. The probability of industrial diversification also increases in vega. Additional tests show that the decline in post‐merger equity risk results in a significant decrease in shareholder wealth. This decrease is concentrated among firms with CEOs having the highest delta and the highest delta and vega. Our results suggest that the increased convexity provided by option‐based compensation does not necessarily increase risk‐taking behavior by CEOs.