경영자 인센티브 스톡옵션의 민감도와 기업의 위험관리 특성

This study explores whether executive stock options(ESOs) provide managers with risk preferences to maximize their wealth and affect hedging activities. Because there is a direct link between options and stock price, managers have an incentive to utilize derivatives to avoid risk. In contrast, they are likely to decrease the hedging activities in that the value of managers’ stock option portfolio increase with the volatility of the firm’s stock returns. Firstly, we measure the opposing effects of stock options on their wealth with the two sensitivities of options–Total sensitivity to stock price(TDelta) and Total sensitivity of stock return volatility(TVega). Then, we explore how TDelta and TVega have impacts on the derivatives usage through panel Logit and panel Tobit analysis. We analyzed a total of 703 firm panel data whose executives are holding stock options, selected from the listed companies in Korea Stock Exchange(KSE) from year 2004 to year 2011. In univariate analysis, these data are categorized into two groups by the risk hedging with derivatives – ‘derivatives are used’ (n=290), ‘derivatives are not used’(n=413). The results are like followings; Firstly, according to the univariate analysis between groups of derivatives used versus non-used, Tdelta is significantly higher and Tvega is statistically lower for the group of derivatives used. Secondly, in the logit analysis, Tdelta affects positively the usage of derivatives, which means that mangers avoid risk by utilizing derivatives more if their sensitivities of option value to stock price is higher. In contrast, Tvega has an negative effect on the usage of derivatives, implying that derivatives are less used to take risk as Tvega increases. Lastly, in the tobit analysis where dependent variable is the contract value of derivatives scaled by firm size, the same results have been found. But there is evidence that managers are more active in risk hedging than risk taking. This study has an significance in that this is the first in Korea to explore the relationship empirically between sensitivity of managers’ stock option portfolios to stock price and to stock return volatility and risk hedging strategies. Still more this study’s measures are more sophisticated than prior research, because the sensitivities are calculated under the full information method. In the following research, this study would supplement the limitation that it didn’t consider the possibility of corporate governance affecting the Managerial Opportunism. Particularly in a leading conglomerate in Korea, employed managers can have a weak decision-making power in hedging strategies due to its major shareholder’s ownership.