题目：The Pricing of Risk and Sentiment: A Study of Executive Stock Options
报告人：Charles Chang (Cornell University)
时 间：10月13日（周二）10:00-11:30am
地 点：光华新楼217教室
摘 要：Using all US employee stock options (ESOs) issued and executive compensation paid between 1992 and 2004, we find that executives value ESOs at a 126% premium to market value. Accounting for illiquidity, option pricing models generally imply a discount to market value. Our three-asset, jump diffusion model considers the role of sentiment which offsets illiquidity. Observed ESO premia are explained by a sentiment level of 28.6% in risk-adjusted, annualized excess return, suggesting a high level of executive over-confidence. Subjective value is negatively related to illiquidity, positively related to sentiment, and negatively related to idiosyncratic risk in all specifications.
