基于上市公司经理股票期权计划研究
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摘要
当今世界经济大潮席卷全球，各个国家都在不遗余力地发展本国经济，大力发展生产力，提高企业在国际范围内的竞争力。
长期以来，企业经理人激励问题一直是企业股东和所有者面临的一项重要课题。在现代企业两权分离的制度下，企业经理人员与企业所有者形成了代理关系。代理过程中，由于代理主体双方信息不对称和目标函数的非兼容性，可能导致经理人员发生“逆向选择”和“道德风险”等与企业理财目标背离的行为，损害企业价值。所以，解决这一问题显得尤为重要，西方发达国家和中国先后采用了经理股票期权——这种有效的经理人长期激励机制。
本文总结了经理股票期权制度在国内外的实施情况，进行了深入细致地比较，分析了我国实施经理股票期权计划的必要性和可行性。在总结以往研究成果的基础上，针对经理股票期权计划实施的要素和方案设计进行了研究，如经理股票期权受益人、期权数量、行权价格和行权时间的确定，对布莱克-舒尔斯模型进行了适应性改进，使其定价和以此为基础的经理股票期权数量确定更加合理。最后，运用SAS统计软件，针对经理股票期权的有效性进行了实证分析。
本文在充分调查研究的基础上，既继承前人又推陈出新，充分结合当前基本国情，公司实际情况，使经理股票期权定价更合理，实施更有效，以期达到适用的目的，为公司的长远发展服务。
Nowadays the economy waves have rolled up everywhere in the world. Meanwhile each country is
sparing no effects to develop their economy and raising the efficiency in production for strengthening the worldwide competition.
For a long-term, the empowerment of the business executives has been an important subject for the
enterprise's owners and the stockholders. Under the detachment system of the ownership and operating
power, the relationship between the owners of enterprises and the enterprises' executives is the agent
relation. In the process of agent, the 'reverse choice' and 'moral risk' resulted from the information asymmetry and the incompatibility in the object functions for the both bodies of the agent may be brought on with the result of the enterprise's value decrease. It is vital to resolve the issue. So the effective,
long-term empowerment mechanism (executive stock options) has been adopted successively in the
western countries and Chinese.
The dissertation sums up the details of the ESO executions both in Chinese and foreign countries,
conducts a deep and delicate analysis and brings up the necessity and possibility for the execution of the
ESO. Based on the former fruits, I have studied the elements of ESO, such as the beneficiary of ESO, the amount of ESO, the executive price of ESO and the schedule of ESO etc. Meanwhile the Black-Scholes
model is amended for adapting to the practice, which rationalizes the decision in making price and the stock
amount of ESO. Finally the empirical analysis is carried out for checking the effect of ESO, then the
conclusion is reached.
On the basis of adequate investigation and research, the dissertation becomes a creative thesis
combining the contemporary circumstances, which has a few rational improvements. The author expects that the dissertation could sever the enterprise efficiently in the long-term executives empowerment with a
good effect.
长期以来，企业经理人激励问题一直是企业股东和所有者面临的一项重要课题。在现代企业两权分离的制度下，企业经理人员与企业所有者形成了代理关系。代理过程中，由于代理主体双方信息不对称和目标函数的非兼容性，可能导致经理人员发生“逆向选择”和“道德风险”等与企业理财目标背离的行为，损害企业价值。所以，解决这一问题显得尤为重要，西方发达国家和中国先后采用了经理股票期权——这种有效的经理人长期激励机制。
本文总结了经理股票期权制度在国内外的实施情况，进行了深入细致地比较，分析了我国实施经理股票期权计划的必要性和可行性。在总结以往研究成果的基础上，针对经理股票期权计划实施的要素和方案设计进行了研究，如经理股票期权受益人、期权数量、行权价格和行权时间的确定，对布莱克-舒尔斯模型进行了适应性改进，使其定价和以此为基础的经理股票期权数量确定更加合理。最后，运用SAS统计软件，针对经理股票期权的有效性进行了实证分析。
本文在充分调查研究的基础上，既继承前人又推陈出新，充分结合当前基本国情，公司实际情况，使经理股票期权定价更合理，实施更有效，以期达到适用的目的，为公司的长远发展服务。
Nowadays the economy waves have rolled up everywhere in the world. Meanwhile each country is
sparing no effects to develop their economy and raising the efficiency in production for strengthening the worldwide competition.
For a long-term, the empowerment of the business executives has been an important subject for the
enterprise's owners and the stockholders. Under the detachment system of the ownership and operating
power, the relationship between the owners of enterprises and the enterprises' executives is the agent
relation. In the process of agent, the 'reverse choice' and 'moral risk' resulted from the information asymmetry and the incompatibility in the object functions for the both bodies of the agent may be brought on with the result of the enterprise's value decrease. It is vital to resolve the issue. So the effective,
long-term empowerment mechanism (executive stock options) has been adopted successively in the
western countries and Chinese.
The dissertation sums up the details of the ESO executions both in Chinese and foreign countries,
conducts a deep and delicate analysis and brings up the necessity and possibility for the execution of the
ESO. Based on the former fruits, I have studied the elements of ESO, such as the beneficiary of ESO, the amount of ESO, the executive price of ESO and the schedule of ESO etc. Meanwhile the Black-Scholes
model is amended for adapting to the practice, which rationalizes the decision in making price and the stock
amount of ESO. Finally the empirical analysis is carried out for checking the effect of ESO, then the
conclusion is reached.
On the basis of adequate investigation and research, the dissertation becomes a creative thesis
combining the contemporary circumstances, which has a few rational improvements. The author expects that the dissertation could sever the enterprise efficiently in the long-term executives empowerment with a
good effect.
引文
[1] 戴娜，潘倩．加快建立和完善股票期权激励机制[J]．宏观经济研究，2000，(9)：42-44
[2] Brian K.B. Board Control and CEO Compensation[J]. Strategic Management Journal 1994,(15):335-344
[3] 程国平．西方国家公司经理激励计划及其启示[J]．武汉汽车工业大学学报，1999，21(3)：75-78
[4] 路昆．国有企业如何实施股票期权[J]．南开经济评论，2000，(5)：7-9
[5] 周立．金融衍生工具发展与监管[M]．北京：中国发展出版社，1997．58-70
[6] 刘园．透析美国股票期权计划[J]．科学决策，2001，(6)
[7] 黄钟苏．经理激励与股票期权[M]．中华工商联出版社，2001，(1)
[8] Alston, Lee J, Robert Higgs. Contractual Mix in Southern Agriculture since the Civil War: Facts, Hypotheses, and Tests [J]. Journal of Economic History, 1982,(42):327-353.
[9] Harris, Milton, Bengt Holmstrom. A Theory of Wage Dynamics[J]. Review of Economic Studies, 1982,(49):315-333.
[10] Himmelberg, Charles P, R. Glenn Hubbard, Incentive Pay and the Market for CEOs: An Analysis of Pay-for-Performance Sensitivity[M]. 2000. Columbia University.
[11] Lazear, Edward P. Raids and Offers Matching[J]. Research in Labor Economics, 1986,(8): 141-165.
[12] MacLeod, W. Bentley. Equity, Efficiency, and Incentives in Cooperative Teams[J]. Advances in the Economic Analysis of Participatory and Labor Managed Firms, 1988, (3): 5-23.
[13] Thomas, Jonathan, Tim Worrall. Self-Enforcing Wage Contracts[J]. Review of Economic Studies,1988, (55):541-554.
[14] Rasmusen, Eric. Moral Hazard in Risk Averse Teams[J]. RAND Journal of Economics, 1987, (18): 428-435.
[15] 迟福林．中国收入分配制度改变与职工持股[M]．北京：中国经济出版社，1999，51-59
[16] 金永红．我国实行股票期权激励的三种模式及其比较[J]．管理现代化，2000(5)：5-10
[17] 张一弛．薪酬结构与股票期权[J]．企业经营，2001，(3)：25-27
[18] 陈云贤．风险-收益决策分析[M]．新华出版社，2001：45-82
[19] 张维迎．企业的企业家——契约理论[M]．北京：三联书店，1995，102-103
[20] 张志强．期权理论与公司理财[M]．华夏出版社．2000：7
[21] 唐小我．经济预测与决策新方法及其应用研究[M]．成都：电子科技大学出版社，1997
[22] 程俊杰，李久鑫．股票期权现象的一种制度解释[J]．上海财经大学学报，2000，(8)：28-32
[23] 王剑．经理股票期权若干问题探讨．博士学位论文，厦门大学．2001，7
[24] 邱锐．建立经理股票期权制的思考[J]．中国投资，2000，(5)：43
[25] 李辉．经理股票期权计划原理及其应用[J]．技术经济，2000，(8)：19
[26] 许亮．劳者有其股[M]．企业管理出版社．2000，6
[27] 杨艳军，李杰．美国国内对股票期权激励方式的争议及其对我国的启示[J]．技术经济，2000，(10)：49-51
[28] 程俊杰，李久鑫．股票期权现象的一种制度解释[J]．上海财经大学学报，2000，(8)：28-32
[29] Nalin Kulatilaka, Enrico C. Perotti. Strategic Growth Options[J]. Management Science. 1998, 44(8): 1021-1029
[30] 雷培莉．如何实施股票期权计划[J]．化工管理，2000，(4)：23
[31] 张一弛．薪酬结构与股票期权[J]．企业经营，2001，(3)：25-7
[32] 陈云贤．风险-收益决策分析[M]．新华出版社，2001：45-82
[33] 骆驰骋．上市公司期权激励方案分析[J]．经济管理．2001，23
[34] 王银风，刘和平．一种有效的长期激励机制——谈谈股票期权在企业中的应用方式[J]．经济导刊，2000，(2)
[35] 张维迎．所有制、治理结构及委托代理关系[J]．经济研究，1996，(9)
[36] 王春峰．金融市场风险管理[M]．天津大学出版社，2001
[37] David Aboody, Ron Kasznik. CEO stock option awards and the timing of corporate voluntary disclosures[J]. Journal of Accounting and Economics 29 (2000) 73-100
[38] 张维迎．企业理论与中国企业改革[M]．北京：北京大学出版社，1999
[39] 曹凤岐，王树文．改进和完善我国公司企业法人治理结构[J]．北京大学学报(哲学社会科学版)1997，(6)
[40] 黄晓风．我国推行股票期权制需要解决的几个问题[J]．财经理论与实践，2001，(1)
[41] 吴敬琏．股票期权激励与公司治理．国研网．
[42] 王峥．国有上市公司治理与股票期权[J]．经济导刊，1999，(3)
[43] 王富祥．建立有效的国有企业委托代理关系模式探析[J]．经济师．2002，(11)
[44] 刘少波，崔萍．试析现代资本市场定价理论的发展[J]．金融研究．2002，(8)
[45] 龙小波，吴敏文．证券市场有效性理论与中国证券市场有效性实证研究[J]．金融研究，1999，(3)：53-58．
[46] 李兆熙，齐斌．股票期权计划的管理．国务院发展研究中心．2002．03．11
[47] Alain Alcouffe, Christiane Alcouffe. Executive Compensation-setting Practices in France[J]. Long Range Planning 33 (2000) 527-543
[48] 李兆熙，严华仲．行权股票的多渠道来源．国务院发展研究中心．2002．03．07
[49] 吉余峰．布莱克—斯科尔斯期权定价模型[J]．金融研究．1997，(12)
[50] 约翰·霍尔(张陶伟译)．期权、期货和衍生证券[M]．华夏出版社．1997：20-22
[51] Gonzalo Cortazar, Eduardo S. Schwartz Jaime Casassus. Optimal Exploration Investrnens Under Price and Geological-Technical Uncertainty: A Real Options Model[J]. R&D Management.2001, 31(2): 181-187
[52] Simon Rose. Valuation of Interacting Real Options In A Tollroad Infrastructure Project[J]. The Quarterly Review of Economics and Finance, 1998, 38:711-723
[53] Paul A. Schumann, Jr. Derek L. Ransley and Donna C.L. Measuring R&D Performance[J]. Research-Technology Management. 1995,38 (3): 45-47
[54] Roger Miller. Applying Quality Practices to R&D[J]. Research-Technology Management.1995, 38 (2): 7-54
[55] 钱敏平，龚光鲁．应用随机过程[M]．北京大学出版社．1998
[56] 钱敏平，龚光鲁．随机过程论[M]．北京大学出版社．1997
[57] 约翰·墨菲．期货市场技术分析[M]．地震出版社．1996
[58] Chance. D, Kumar.R, Todd.R. The Repricing of executive stock options. Working paper, Department of Finance, Virginia Polytechnic Institute. 1997
[59] Saly, P.J. Repricing executive stock options in a down market[J]. Journal of Accounting and Economics 1994.18, 325-356.
[60] David Brookfield, Phillip Ormrod. Executive stock options: volatility, managerial decisions and agency costs[J]. Journal of Multinational Financial Management 10 (2000) 275-295
[2] Brian K.B. Board Control and CEO Compensation[J]. Strategic Management Journal 1994,(15):335-344
[3] 程国平．西方国家公司经理激励计划及其启示[J]．武汉汽车工业大学学报，1999，21(3)：75-78
[4] 路昆．国有企业如何实施股票期权[J]．南开经济评论，2000，(5)：7-9
[5] 周立．金融衍生工具发展与监管[M]．北京：中国发展出版社，1997．58-70
[6] 刘园．透析美国股票期权计划[J]．科学决策，2001，(6)
[7] 黄钟苏．经理激励与股票期权[M]．中华工商联出版社，2001，(1)
[8] Alston, Lee J, Robert Higgs. Contractual Mix in Southern Agriculture since the Civil War: Facts, Hypotheses, and Tests [J]. Journal of Economic History, 1982,(42):327-353.
[9] Harris, Milton, Bengt Holmstrom. A Theory of Wage Dynamics[J]. Review of Economic Studies, 1982,(49):315-333.
[10] Himmelberg, Charles P, R. Glenn Hubbard, Incentive Pay and the Market for CEOs: An Analysis of Pay-for-Performance Sensitivity[M]. 2000. Columbia University.
[11] Lazear, Edward P. Raids and Offers Matching[J]. Research in Labor Economics, 1986,(8): 141-165.
[12] MacLeod, W. Bentley. Equity, Efficiency, and Incentives in Cooperative Teams[J]. Advances in the Economic Analysis of Participatory and Labor Managed Firms, 1988, (3): 5-23.
[13] Thomas, Jonathan, Tim Worrall. Self-Enforcing Wage Contracts[J]. Review of Economic Studies,1988, (55):541-554.
[14] Rasmusen, Eric. Moral Hazard in Risk Averse Teams[J]. RAND Journal of Economics, 1987, (18): 428-435.
[15] 迟福林．中国收入分配制度改变与职工持股[M]．北京：中国经济出版社，1999，51-59
[16] 金永红．我国实行股票期权激励的三种模式及其比较[J]．管理现代化，2000(5)：5-10
[17] 张一弛．薪酬结构与股票期权[J]．企业经营，2001，(3)：25-27
[18] 陈云贤．风险-收益决策分析[M]．新华出版社，2001：45-82
[19] 张维迎．企业的企业家——契约理论[M]．北京：三联书店，1995，102-103
[20] 张志强．期权理论与公司理财[M]．华夏出版社．2000：7
[21] 唐小我．经济预测与决策新方法及其应用研究[M]．成都：电子科技大学出版社，1997
[22] 程俊杰，李久鑫．股票期权现象的一种制度解释[J]．上海财经大学学报，2000，(8)：28-32
[23] 王剑．经理股票期权若干问题探讨．博士学位论文，厦门大学．2001，7
[24] 邱锐．建立经理股票期权制的思考[J]．中国投资，2000，(5)：43
[25] 李辉．经理股票期权计划原理及其应用[J]．技术经济，2000，(8)：19
[26] 许亮．劳者有其股[M]．企业管理出版社．2000，6
[27] 杨艳军，李杰．美国国内对股票期权激励方式的争议及其对我国的启示[J]．技术经济，2000，(10)：49-51
[28] 程俊杰，李久鑫．股票期权现象的一种制度解释[J]．上海财经大学学报，2000，(8)：28-32
[29] Nalin Kulatilaka, Enrico C. Perotti. Strategic Growth Options[J]. Management Science. 1998, 44(8): 1021-1029
[30] 雷培莉．如何实施股票期权计划[J]．化工管理，2000，(4)：23
[31] 张一弛．薪酬结构与股票期权[J]．企业经营，2001，(3)：25-7
[32] 陈云贤．风险-收益决策分析[M]．新华出版社，2001：45-82
[33] 骆驰骋．上市公司期权激励方案分析[J]．经济管理．2001，23
[34] 王银风，刘和平．一种有效的长期激励机制——谈谈股票期权在企业中的应用方式[J]．经济导刊，2000，(2)
[35] 张维迎．所有制、治理结构及委托代理关系[J]．经济研究，1996，(9)
[36] 王春峰．金融市场风险管理[M]．天津大学出版社，2001
[37] David Aboody, Ron Kasznik. CEO stock option awards and the timing of corporate voluntary disclosures[J]. Journal of Accounting and Economics 29 (2000) 73-100
[38] 张维迎．企业理论与中国企业改革[M]．北京：北京大学出版社，1999
[39] 曹凤岐，王树文．改进和完善我国公司企业法人治理结构[J]．北京大学学报(哲学社会科学版)1997，(6)
[40] 黄晓风．我国推行股票期权制需要解决的几个问题[J]．财经理论与实践，2001，(1)
[41] 吴敬琏．股票期权激励与公司治理．国研网．
[42] 王峥．国有上市公司治理与股票期权[J]．经济导刊，1999，(3)
[43] 王富祥．建立有效的国有企业委托代理关系模式探析[J]．经济师．2002，(11)
[44] 刘少波，崔萍．试析现代资本市场定价理论的发展[J]．金融研究．2002，(8)
[45] 龙小波，吴敏文．证券市场有效性理论与中国证券市场有效性实证研究[J]．金融研究，1999，(3)：53-58．
[46] 李兆熙，齐斌．股票期权计划的管理．国务院发展研究中心．2002．03．11
[47] Alain Alcouffe, Christiane Alcouffe. Executive Compensation-setting Practices in France[J]. Long Range Planning 33 (2000) 527-543
[48] 李兆熙，严华仲．行权股票的多渠道来源．国务院发展研究中心．2002．03．07
[49] 吉余峰．布莱克—斯科尔斯期权定价模型[J]．金融研究．1997，(12)
[50] 约翰·霍尔(张陶伟译)．期权、期货和衍生证券[M]．华夏出版社．1997：20-22
[51] Gonzalo Cortazar, Eduardo S. Schwartz Jaime Casassus. Optimal Exploration Investrnens Under Price and Geological-Technical Uncertainty: A Real Options Model[J]. R&D Management.2001, 31(2): 181-187
[52] Simon Rose. Valuation of Interacting Real Options In A Tollroad Infrastructure Project[J]. The Quarterly Review of Economics and Finance, 1998, 38:711-723
[53] Paul A. Schumann, Jr. Derek L. Ransley and Donna C.L. Measuring R&D Performance[J]. Research-Technology Management. 1995,38 (3): 45-47
[54] Roger Miller. Applying Quality Practices to R&D[J]. Research-Technology Management.1995, 38 (2): 7-54
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