We use data compiled from the 2000 Survey on Current Practices in Broad-Based Stock Option Plan Design conducted by the National Center for Employee Ownership (NCEO). The NCEO is a private, non-profit organization that provides members with...We use data compiled from the 2000 Survey on Current Practices in Broad-Based Stock Option Plan Design conducted by the National Center for Employee Ownership (NCEO). The NCEO is a private, non-profit organization that provides members with information about employee ownership programs. In early 2000, the NCEO mailed a survey to compensation administrators at public and private companies of all sizes and in a wide variety of industries. The survey was sent only to companies that the NCEO believed had a \broad-based stock option plan" in place or expected to implement such a plan within two years of the survey. \Broad-based" plans were defined as stock option plans where 50% or more of the firm's employees receive or hold stock options. Survey respondents provided financial information such as average salary and number of options granted at various levels of the firm, as well as details on other compensation plans and reasons for granting options. The 247 firms that returned questionnaires to the NCEO do not constitute a random sample of firms or even of firms with broad-based stock option plans. However, it does provide an extremely rich set of details about stock option contracts at a large set of companies that, as of 2000, chose to distribute stock options broadly within their organizations.
The firms in the NCEO sample have high stock volatility, largely due to the fact that "new economy" firms are both highly volatile and prone to use broad-based option plans. As will become clear below, our estimates of the risk costs of employee option grants are very high. While the exact estimates we present apply only to the NCEO sample, it is clear from more random samples that firms that make options grants to middle managers are, on average, high volatility firms (see Oyer and Schaefer (2003).)
To estimate option values, we use the number of options a firm reports granting to new middle-manager hires. If the firm does not make grants to new hires, we use the number of options granted in the firm's "ongoing/periodic" plan. If the firm does not make new hire or ongoing grants, we use the number granted in the firm's "single grant" (that is, one-time) plan. In most firms, middle managers' option holdings confer the right to purchase a very small fraction of the firm's equity.On average, middle managers at our sample firms "own," via the options, rights to 0.16% of the firm's equity. There are, however, a number of very small firms where each middle manager owns in the neighborhood of 1% of the firm. The median value is 0.039%, which is approximately 1/25th of 1%.
We compute two measures of the value of options held. The first is the Black-Scholes value(BSV), for which we assume a ten-year expiration period. Because many firms in the sample are growing and are therefore likely to become less volatile, we estimate future volatility as the minimum of 0.75 and 75% of historical volatility.展开 |
|
转播
