毕业论文外文翻译：股票期权、当前的公司业绩和递延收益

毕业论文外文翻译：股票期权、当前的公司业绩和递延
收益
译文
股票期权、当前的公司业绩和递延收益
我们研究CEO股票期权的潜在不利影响。

我们所抽取的上市公司样本的时间是1992-2001年。

我们根据股票期权占CEO报酬总额的比例将观察值分为三组。

我们根据实证文献认为股票期权的比例和公司当前经营业绩负相关。

我们有证据显示,股权比例较高组,有明显异常的负相关的应计收入,而且表现为收益递延。

1.研究设计和经验模型
1.1研究设计
我们研究1992-2001年期间上市公司CEO的股票期权。

尽管其他管理者也有股权激励,但是本文主要研究CEO的股权激励。

在我们的样本中,股票期权占了CEO报酬总额的大部分。

我们以布莱克斯科尔斯模型测算出来的股票期权价值来测算股票期权占CEO总收入的份额。

和Klassen、Ittner 、Mawani 2000、Larcker 2003一样,每家公司的期权比例,统一定义如下:
SOPROP tt Vt/ TCt____ [1]
这里的SOPROPt指股票期权占总报酬的比例,V指授予CEO的股票期权以布莱尔斯克斯模型测算的价值。

TC指CEO每年的报酬总额。

为了研究授予CEO期权是否和公司当前的业绩相关,我们根据股票期权的比例将观测值分为三组,我
们首先根据SOPROP 按行业和年份对公司进行排序。

第一组包括SOPROP值最低的三分之一的公司(低),第二组包括SOPROP值居中间的三分之一的公司(中等),第三组包括SOPROPt值最高的三分之一公司(高)。

1.2实证模型
为了研究股票期权和公司当前业绩之间的关系,我们对股票期权的比例和公司特定的业绩进行回归分析的同时控制变量。

就如霍尔索森和拉克尔(1999年),我们使用资产收益率来衡量企业的业绩,具体地说,我们研究下面的关系: SOPROPit β0 + β1 ROAit + β2 FINANCIAL_COSTit + β3 VARIABILITYit-1 +β4 CHG_SALEit-1 + β5 SIZEit-1 + β6 GROWTHit-1 + β7 LEVERAGEit-1 +
β8 RETURN_1it + β9 RETURN_3it + eit [2]
SOPROP it 由方程定义的第t年的股票期权占公司i的CEO报酬总额的比例ROAit 公司i第t年的资产报酬率
FINANCIAL_COSTit 如果在经营中前时期t公司i折旧收入的变化是积极的,指标变量等于1,否则为0
VARIABILITYit-1 公司i在期间t前60个月内的波动性
CHG_SALEit-1 公司i在t-2年和t-1年年销售额的差额
SIZEit-1 股东权益市场价值的自然对数
GROWTHit-1 公司i所有者权益的市场价值和账面价值的差额与市场价值的比例
LEVERAGEit-1 公司i在期间t的财务杠杆
RETURN_1it 公司i在t时期期初的财务杠杆(负债对股本)
RETURN_3it 公司i前三年的累积收益率
2.实证分析
2.1样本选择和描述统计
我们获取从1992-2001年CEO的报酬的数据(我们从2002年的Execucomp 数据库中获取1999-2001年报酬的数据)。

该数据包含了最高五位CEO的报酬。

我们收集了所有公司的CEO的报酬的数据。

除了报酬总额,该数据库提供了CEO 收入的详细组成部分,包括以布莱尔斯科尔斯模型估值的股票期权、工资和奖金(除了报酬总额,该数据库还提供布莱尔斯克斯模型确定的股票期权、工资总额、奖金的详细组成)。

原始的样本包括2502家公司一共有14013个符合的观测值。

我们从原始数据中剔除了金融机构(1852个观测值)和没有给CEO股权激励的(3442个观察值)以及CEO的报酬低于1百万(1757个观察值)的公司。

因为需要计算股票收益率的波动性,我们同样剔除了CRSP数据库中最近60个月没有股票收益率的1013个观察值。

最后,我们还剔除了额外的缺少数据的857个观察值。

这样我们得到一个有5092个观测值和1353个公司的样本。

为了研究股票期权和当前非正常的应计项目,我们需要估算随意的应计项目。

因此我们使用道琼斯模型进行这些测试,需要的会计数据取自Compustat数据库。

我们的样本中所包含的公司是盈利的(平均资产回报率为5.01%)。

CEO的平均报酬高于500万,其中47%为股票期权,40%为现金。

对于股票期权所占比例较低的组,股票期权的平均比例是22%,现金的比例是53%。

相反的,股票期权比例较高的组,股票期权的比例几乎占了报酬总额的四分之三,而现金只占了报酬总额的23%。

对于每一组来说,资产的报酬率都是正数,但是股票期权比例高的那组的报酬率最低。

三组的平均数来说是正增长,但是杠杆比例似乎与股票期权的比例
负相关。

平均来说,有较高期权比例的公司与上年和过去的三年比有更高的回报率,其证券市场的波动率也更大。

3.公司业绩和股票期权的比例
用模型2来测试股票期权的比例是否和公司的业绩呈正相关的关系。

我们根据股票期权的比例将数据划分为三组。

我们首先根据SOPROP按行业按年进行排序。

一组包括SOPROPt值最低的三分之一的公司(低),第二组包括SOPROPt值居中间三分之一的公司(中等),第三组包括SOPROPt值最高的三分之一公司(高)。

用托宾Q测试表明SOPROPt值最高的那组和SOPROPt值最低的那组呈在显著的差异(在1%的水平),从而拒绝了分布均匀的假设。

因此它是在适当平局模型2的基础上单独的回归。

正如表1列A所示,股票期权的比例较低的公司,即在10%水平时,它对当时公司的业绩产生积极显著的影响。

股票期权的比例排在中间的公司,如列B所示,它对当时公司的业绩产生负的但不显著的影响。

然而在股票期权的比例高的公司,即1%水平,如列C所示,它对当时公司的业绩产生显著的负面的影响。

4.总结
在本文中,我们选取了1992-2001年的上市公司作为样本,然后根据股票期权的比例对公司进行分类。

股票期权比例高的企业,股票期权比例高的企业,即使控制了与股票期权相关的其他已知变量,我们得出股票期权比例与公司同期业绩负相关。

股票期权比例低的企业,我们观察到同期的经营业绩与股票期权的比例呈正相关。

当股票期权占经营者报酬总额的比例较高时,经营者的报酬在未来业绩中急剧增加。

这种公司中的经营者意识到潜在的巨大收益,有动机将当前的收
入和收益推迟到未来期间确认。

我们的结论和猜测相一致。

总得来说,本研究认为对CEO授予过度的股权激励具有负面影响。

这种行为会对现任股东的财富产生不利影响。

作者:K.柯克达瑞/M.罗伯特
国籍:加拿大
出处:《国际管理期刊》,第26卷第1期,2009年4月,第26-31页
原文
Stock Option Grants, Current Operating Performance
and Deferral of Earnings
We examine a potential negative consequence of stock option grants to the ChiefExecutive Officer CEO. Using a large sample of public firms spanning the period1992-2001, we classify firm-year observations into three groups based on the stockoption proportion of total compensation to the CEO. We empirically document a negativerelation between stock option proportion and contemporaneous operating performance.We provide
evidence of earnings deferral manifested by significantly negative abnormalaccruals for the group with high proportion of stock options.
2. Research Design and Empirical Model
2.1 Research Design
We examine CEO stock options grants of public corporations during 1992-2001. While stock options grants are used to compensate other employees as well as CEOs, this study focuses only on CEOs. In our sample, stock options constitute a larger pr oportion of CEO’s total compensation compared to other employees. We measure the stock option proportion as the ratio of Black-Scholes value of the total options granted to the CEO in a particular year to the total compensation granted to the CEO that year. Consistent with Klassen and Mawani 2000 and Ittner, Lambert and Larcker 2003, stock option proportion for each firm-year is defined as follows:
V SOPROP t t Vt/ TCt____ [1]
where SOPROP is the proportion of total compensation that consists of stock options; V is the Black-Scholes value of options granted to the CEO; and TC is the total compensation paid to the CEO in the year.
In order to examine whether the granting of CEO stock options is associated with a firm’scurrent operating performance, we c lassify firm-year observations into three groupsbased on the proportion of stock options. We first rank firms based on their SOPROPby year and by industry.
The first group comprises the bottom one third of firms low,the second group the middle one third medium and the third group includes firms withtop one third high proportion of stock options3.2 Empirical Model To examine the association between current performance and stock options, we regressthe proportion of stock options on firm-specific performance as well as control variablesidentified in prior studies as determinants of stock option grants. As in Core, Holthausen and Larcker 1999, we use the accounting return on assets ROA as the proxy for firm performance. Specifically, we examine the following relation: SOPROPit β0 + β1 ROAit + β2 FINANCIAL_COSTit + β3 VARIABILITYit-1 +β4 CHG_SALEit-1 + β5 SIZEit-1 + β6 GROWTHit-1 + β7 LEVERAGEit-1 +
β8 RETURN_1it + β9 RETURN_3it + eit [2]
SOPROP it the proportion of the CEO’s total compensation of firm i that is composed on stock options in year t as defined by equation [1]. The stock options are valued using the Black & Scholes option pricing formula;
ROAit the return on assets of firm i on year t;
FINANCIAL_COSTit an indicator variable that equals 1 if the change in operatingincome before depreciation for firm i in period t is positive andis 0 otherwise;
VARIABILITYit-1 variability of firm i’s stock return for the period
of 60 months prior to year t;
CHG_SALEit-1 change in the annual sales of firm i between period t-2 and t-1;
SIZEit-1 natural log of the beginning market value of equity;
GROWTHit-1 ratio of the beginning book value of equity of firm i over the beginning market value of equity;
LEVERAGEit-1 financial leverage liabilities over equity of firm i at the beginning of period t;
RETURN_1it stock returns of firm i over prior one year; and
RETURN_3it cumulative stock returns of firm i over prior three years.
3. Empirical Analyses
3.1 Sample
3. Empirical Analyses
3.1 Sample Selection and Descriptive Statistics We obtain compensation data from 2002 Execucomp database for the period 1992 to 2001. The database contains the information regarding the compensation of the top five executives. We collect compensation data for all firms for which CEO is identified. In addition to the total compensation, the database provides a detailed composition including the Black & Scholes value stock options, the amount of salary and the bonuses.The initial sample consists of 2,502 companies and a corresponding total of 14,013 firm-year
observations.We exclude financial institutions 1,852 observations, CEOs that are not awarded stock options 3,442 observations and firms providing compensation lower than 1 million dollars 1,757 observations from the initial sample. We also eliminate 1,013 observations that do not have 60 months of stock return in CRSP, required to compute the stock return volatility. Finally, we eliminate an additional 857 observations due to missing data. This gives us a sample of 5,092 firm-year observations for 1,353 companies. To investigate our question relating to the association between stock option compensation and current abnormal accruals, we need to estimate the discretionary accruals. We employ the modified Jones’ model for this purpose. Accounting data necessary to conduct these tests are obtained from Compustat. Firms included in our sample are profitable average return on asset of 5.01%. The average value of CEO compensation is over 5 million dollars and stock options represent 47% of the value of total compensation for our sample firms, compare to 40% for the cash component. For the group of firms with low proportions of stock options, stock options, account on average, for 22% of the total compensation, while the cash component represents 53%. Conversely, stock options represent almost three quarter of total compensation of the group of firms with a high proportions of stock options, while the cash component is 23% of total compensation. For each group of firms, the average return on assets is positive but it is lower for the group of firms with a high
proportion of stock options. All three groups experience positive growth, on average, and the leverage ratio seems to be negatively correlated to the proportion of stock options. On average, firms with a high proportion of stock options have experienced a higher return on their stock over the last year and the last three years. The volatility of stock return is also higher for firms with a high proportion
of stock options.
4. Conclusion
In this paper, we employ a sample of public firms spanning the period 1992-2001, and classify firm-year observations based on the proportion of stock options. For firms with a high proportion of stock options, we document a negative association between proportion of stock options and contemporaneous operating performance, even after controlling for other known variables associated with stock option grants. For firms with a low proportion of stock options, we observe a positive association between contemporaneous operating performance and proportion of stock options. When stock options grants constitute a large proportion of total compensation, manager payoffs increase steeply at higher levels of future performance i.e., the compensation is convex.
Managers of such firms, recognizing the potential for large payoffs, have incentives to postpone revenues and earnings from the current to future periods. Our results are consistent with this conjecture. Overall,
this study identifies a potential negative consequence of granting excessive
levels of stock options to CEOs. Such behavior can negatively affect the wealth of incumbent shareholders.
Author:K. Kiridaran
Nationality: Canada/ Canada
Originate from: International Journal of Management,Vol.26 No.1,April 2009,P26-31。