임직원 스톡옵션의 블록행사를 통한 위험의 부분헤징

The exercise of Employee stock options(ESOs) is influenced by employee's risk aversion behavior because they are inalienable. So they exhibit different exercise patterns from standard options. Of those, there is a block exercise patterns that employee would prefer to distribute the exercise of her options over multiple dates rather than exercise all her options at a single date(Huddart and Lang, 1996; Aboody, 1996; Sautner and Weber; 2005). If employee exercises some of his options, she is able to reduce his portfolio risk partially, being capable of seeking the higher returns by exercising his options next time(Grasselli and Henderson, 2009). Given ESOs are exercised partially over the time, the ESO value by many valuation model may be underpriced. This study analyzes if ESOs are practically block-exercised over the exercisable time and if any different factors influence the first block exercise and the next respectively. This study examined 95 previously-exercised stock options that had been exercised 297 times from year 2000 to year 2006. The major findings of the study are as follows:First, there were block exercise patterns that ESOs are exercised partially over the multiple dates. As for the first block exercise, 45% were exercised 2.99 years after, and the next were exercised 3.49 years after. Next, in case of the first block exercise, it is related with the volatility and occurred just after the vesting period, which is implying the risk averse behaviors. But, risk averse behavior didn't influence the next block exercise. So This paper concludes that employee exercises his options partially for the purpose of risk diversification. Finally, exercise thresholds and realizable valuation of ESOs at exercise date were a little relevant with the sequence of block exercise. This result supports that ESOs can be exercised if the price of the underlying asset is over exercise thresholds.