Information from Inaction: Vested Options Unexercised and Firm Performance
研究发现，当管理者不行使期权时，可能传递了有价值的私有信息；基于此构建的指标能预测股票低估和未来业绩改善，对投资者和分析师有参考价值。
Abstract We hypothesize that when managers do not exercise their options, they signal valuable private information. Accordingly, we construct a proxy to capture managers’ private information from their in-the-money vested options unexercised (VOU) and find that high VOU firms’ stocks are underpriced. A long-short portfolio based on VOU generates a 5% alpha annually. Additionally, we find a positive relation with subsequent operating performance. Firms with higher VOU also receive more favorable analyst recommendations and upgraded credit ratings. Firms with higher VOU are more likely to issue news releases, share repurchases, and stock splits to convey that private information to the public.