万科股权激励计划定价研究

发布时间：2018-01-28 13:57

  本文关键词： 股权激励 波动率 期权定价　出处：《哈尔滨工业大学》2016年硕士论文　论文类型：学位论文

【摘要】：随着我国股权激励计划不断推广与实施,对股权激励计划的定价问题也越来越成为关注的焦点。股权激励期权的定价不仅影响公司的财务报表、公司业绩,还对股权激励的力度和效果有着很大影响。对于企业而言,如何在较低成本下将激励效果发挥到最大,使员工的利益取向与企业尽量一致,是企业在员工激励上最大的议题。对于员工而言,如何在现有工作岗位上获得更高收益,是员工最关注的问题。股权激励计划在理论上可以解决两者之间存在的“委托-代理问题”。然而在实践中,实施股权激励的企业仍然面临很多现实问题。万科在员工激励问题上一直尝试着各种各样的探索,但之前的激励计划均因外部原因不了了之,只有2011年开始实施的期权激励计划顺利开展并几近结束。但一直有声音指出万科这次激励计划虽然在流程上成功了,但本质的激励作用并不大,没有得到股权激励计划应有的效果。由于发现万科实施股权激励计划的过程中,不仅高管离职的现象没有得到改善,全体激励对象的行权情况也并不乐观。本文站在股权激励计划设计者的角度,试图平衡股东与激励对象双方利益。从中立的视角分析万科本次股权激励计划。所以本文从期权定价的角度,分析万科本次激励计划,我们运用更加精确的波动率估算方法小波GARCH对万科A股的历史波动率进行估算,并将结果带入Black Scholes方程中求解出万科本次激励在不同行权期的期权价值。并得出结论:万科本次股权激励计划不够成功的原因在于对激励计划中期权价值的定价不够准确。万科股权激励计划在第一个行权期的期权价值定价过高;第二个行权期的期权价值定价偏低。本文重新调整后的期权价值可以更加准确地反映两个行权期行权后的获利情况。此外,本文还通过研究整个万科股权激励计划实施的行权情况,结合激励计划双方,即股东与激励对象在激励过程中的需求与风险对股权激励计划的设计与实施给出相应的建议,从而提升股权激励计划实施的作用。
[Abstract]:With the promotion and implementation of the equity incentive plan in China, the pricing of the equity incentive plan has become the focus of more and more attention. The pricing of the equity incentive option not only affects the financial statements of the company, but also the performance of the company. It also has a great impact on the strength and effect of equity incentive. For enterprises, how to maximize the incentive effect at lower cost, so that the employee's interest orientation is consistent with the enterprise as far as possible. It is the biggest issue on employee motivation. For employees, how to get higher income in existing jobs. Equity incentive plan can solve the principal-agent problem in theory. However, in practice. Companies that implement equity incentives still face many practical problems. Vanke has been trying to explore all kinds of employee incentive issues, but previous incentive plans have failed for external reasons. Only in 2011, the option incentive plan was carried out smoothly and nearly ended. However, there have been voices pointing out that Vanke's incentive plan is successful in the process, but the essence of the incentive effect is not great. Due to the discovery of Vanke's implementation of the equity incentive plan, not only the phenomenon of executive turnover has not been improved. The exercise of all incentive objects is not optimistic. This paper stands in the perspective of equity incentive plan designers. Try to balance the interests of shareholders and incentive objects. From the perspective of neutral analysis of Vanke equity incentive plan. So this paper from the perspective of option pricing analysis of Vanke incentive plan. We use more accurate volatility estimation method wavelet GARCH to estimate the historical volatility of Vanke A shares. The results are introduced into the Black Scholes equation to solve the option value of Vanke incentive in different exercise periods. The reason why Vanke's equity incentive plan is not successful is that the pricing of option value in the incentive plan is not accurate enough, and the option value of Vanke's stock incentive plan is overpriced in the first exercise period. The option value of the second exercise period is on the low side. The adjusted option value in this paper can more accurately reflect the profit situation after the two exercise periods. This paper also through the study of the whole Vanke equity incentive plan implementation of the exercise of the situation, combined with the incentive plan of both sides. In other words, the demand and risk of shareholders and incentive objects in the process of incentive give corresponding suggestions to the design and implementation of equity incentive plan, thereby enhancing the role of equity incentive plan implementation.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F272.92;F299.233.4
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本文编号：1470963