公司员工持股计划的资产定价研究

发布时间：2018-03-09 23:11

本文选题：非完备市场　切入点：员工持股计划　出处：《湖南大学》2014年硕士论文　论文类型：学位论文

【摘要】：员工持股计划是面向广大普通员工的股权激励制度，可以有效激发员工的积极性，提高公司效益。本质上，员工持股计划(ESOP)是一种受交易限制的不可流通股票，然而与一般的不可流通股票不同的是，ESOP的投资者是公司的员工，员工兼具投资者和公司劳动者的二元属性，一般来说，，ESOP对员工有正向的激励特性，提高公司的运作效率，进而影响公司的股票定价。根据前人的研究，这种股权的激励特性对公司股价影响是不确定的，故而对ESOP的定价也产生了影响。该影响不能通过简单的构造市场组合进行复制对冲，这是就是为什么无法采用简单的风险中性定价方法，必须采用效用无差别定价方法的原因。本文采用效用无差别原理对ESOP进行定价研究，根据ESOP的激励特性，在非流通的ESOP资产中引入激励收益项，结合最优投资策略，利用连续时间随机控制原理，得出HJB方程，再根据效用无差别原理，推导出ESOP所满足的偏微分方程，建立ESOP的效用无差别定价模型。采用有限差分法对ESOP定价模型进行数值求解。结果表明：当风险厌恶系数足够大时，ESOP效用无差别价格随着封闭期延长反而会降低；ESOP的效用无差别价格随激励波动率的增加而单调递增。ESOP设计者需要高超的激励艺术，既要考虑他们的风险态度，还要特别考虑到员工兼具投资者的二元属性，使员工的利益确实与公司相一致，为员工带来“主人翁”的心理优越感。如果激励机制不够好，员工就会有“搭便车”的顺大流的心理状态，甚至会对ESOP产生逆反心理，这样公司的绩效也会随之受到不良影响。
[Abstract]:ESOP is an incentive system for the majority of ordinary employees, which can effectively stimulate the enthusiasm of employees and improve the efficiency of the company. In essence, ESOP (employee Stock ownership Plan) is a non-negotiable stock subject to transaction restrictions. However, unlike ordinary non-tradable stocks, ESOP investors are employees of the company, and employees have dual attributes of both investors and company workers. Generally speaking, ESOP has positive incentive characteristics for employees and improves the company's operational efficiency. According to previous studies, the incentive characteristics of this kind of equity are uncertain to the stock price of the company. Therefore, the pricing of ESOP can not be replicated and hedged by simply constructing the market combination, which is why we cannot adopt the simple risk-neutral pricing method and must adopt the utility non-differential pricing method. In this paper, we study the pricing of ESOP by using the principle of utility non-difference. According to the incentive characteristics of ESOP, we introduce the term of incentive income into the non-circulating ESOP assets, combine with the optimal investment strategy, and use the principle of stochastic control of continuous time to obtain the HJB equation. Then, according to the principle of utility non-difference, the partial differential equation satisfied by ESOP is deduced, and the utility nondifferential pricing model of ESOP is established. The finite difference method is used to solve the pricing model of ESOP. The results show that when the risk aversion coefficient is large enough, the utility price of ESOP decreases with the increase of the closed period. The increase in mobility and monotonous increase. ESOP designers need superb incentive art, We should not only consider their risk attitude, but also give special consideration to the dual nature of both employees and investors, so that the interests of employees are indeed consistent with the company, and bring the employees a sense of psychological superiority of "master". If the incentive mechanism is not good enough, Employees will have a "hitchhiker" mentality, or even reverse the ESOP, so the company's performance will be adversely affected.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F275;F276.6

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