경영자에 대한 스톡옵션 보상이 주가변동성에 미치는 영향

Korean firms have increased their dependence of stock options on executive compensation. Hence, managerial incentives can no longer be well understood without a deep appreciation of executive stock option compensation. A important feature of executive stock option compensation is that they create incentives for managers to take risks. A considerable body of theory posits that executive stock options offer incentives to risk-averse managers to invest in high-risk and high-return projects on behalf of riskneutral shareholders. However, there is little direct empirical evidence on whether executive stock options affect managers’ decisions to undertake more risky and more aggressive projects. In this study, we provide such evidence. The purpose of this study is to investigate the influence of executive stock option incentives on actions that executives of Korean firms take to manage operating risk. Using a sample of 159 Korean firm-year observations that granted executive stock options for the years 1999-2002, this paper empirically examines the impact of a weight of stock options in executive compensation on firm risk proxied by subsequent stock return volatility. And, this study explores whether the executive stock option risk incentives associated with subsequent stock return volatility. Because option values increase with stock return volatility, managers that have options with greater executive stock option risk incentives have greater incentives to undertake actions that increase firm risk. The executive stock options risk incentives we consider is vega. Using a dividend-adjusted Black Scholes model, we estimate vega as the change in the value of the executive stock options for a 0.01 change in the underlying stock return volatility. Another executive stock option incentives we consider is delta. We compute delta as the change in the value of the executive stock options for a 1% change in underlying stock price. Especially, we also consider the average vega(or delta) is computed as vega(delta) divided by the number of executives. Because the vega(delta) and the value of executive stock options is affected by the number of executives for Korean firms. Empirical findings are as follows: First, Higher weight of stock options in executive compensation is associated with higher subsequent stock return volatility. This indicates that the executive stock options compensation mitigates the risk-related incentive problem by motivating managers to make high-risk projects. Second, higher vega is not statistically associated with greater risk-taking behavior as proxied by subsequent stock return volatility. However, change in vega has significantly positive relation with change in subsequent stock return volatility. This shows that positive association between executive stock option risk incentives and the coefficient of subsequent stock return volatility is relatively modest. Additionally, the average vega has a significantly positive relation with subsequent stock return volatility. Also, change in average vega exhibits a significantly positive relation with change in subsequent stock return volatility. This implies that managers that have options with greater executive stock option risk incentives have greater incentives to undertake actions that increase firm risk. Overall, these empirical results are consistent with executive stock option compensation providing managers with incentives to mitigate risk-related incentive problems.