股权激励下的高管冒险决策与最优或有薪酬

股权类薪酬可导致高管冒险决策,而“内部债”是解决这个问题的可行方案。或有薪酬作为一种新型的“内部债”模式得到了实务界的重视,但如何设计或有薪酬以缓解股权激励下的高管冒险决策尚无理论研究。本文利用动态规划方法,得到高管薪酬价值及企业证券价值的显式解;构建委托代理模型,给出薪酬合同激励相容的一个充分条件;并给出了最优合同的数值结果及定量分析。分析表明:与单纯的股权薪酬相比,或有薪酬有效缓解了高管的冒险决策,促使其顾及社会总福利、注重企业长期发展。     

安徽民营科技企业薪酬激励影响因素的实证分析

基于调查就安徽民营科技企业薪酬激励的影响因素提出研究假设,并通过选择有效样本与变量做出数据统计和实证分析,以证实民营科技企业在薪酬激励的现状和效果方面有着较大的改进空间。最后从安徽省民营科技企业薪酬管理的实际出发,基于战略、制度等层面对薪酬激励的目标、水平及结构作出相关分析,并提出相关政策与建议。     

高管个人特征对股权激励模式选择的影响研究

上市公司股权激励模式的选择问题一直受社会各界关注。本文利用2006年到2017年期间实施股权激励的上市公司数据,研究了高管个人特征如何对股权激励模式的选择产生影响。结果表明,被激励高管的个人特征如高管年龄、任期、学历与社会资本显著影响公司股权激励模式的选择,年龄越大、任期越久、学历越高、社会资本越丰富的高管,公司更倾向选择限制性股票激励模式;男性高管越多的公司,越倾向选择股票期权激励模式,然而性别对其影响并不显著。本文在经过一系列的稳健性和内生性检验后,研究结论依然成立。本文研究结果丰富了股权激励相关理论,并为上市公司科学合理地选择股权激励模式提供参考。     

预算软约束下的银行高管薪酬机制分析

为了探讨预算软约束对于银行高管薪酬机制的影响,本文构建了一个委托-代理模型,来描述在政府、银行的董事会和高级管理层之间的博弈中,预算软约束的条件是如何改变各参与人行为,从而影响高级管理层最优的薪酬结构,表现为薪酬-业绩敏感度.模型中,预算软约束的条件体现在当银行陷入危机时,政府有可能采取措施挽救银行使其免于破产,研究发现银行高管的薪酬-业绩敏感度与这种可能性成负相关关系.由于高级管理层持股比例是影响薪酬-业绩敏感度的重要因素,因此研究结论对于当前银行业制定管理层长期激励计划具有一定的指导意义.     

控股股东委派董事与分类转移盈余管理——高管激励中介效应和机构持股调节效应

以高管激励为中介变量,机构投资者持股比例为调节变量,以2007年-2018年期间沪深两市A股上市公司为研究对象,考察了控股股东委派董事对分类转移盈余管理的影响。研究发现:控股股东委派董事对分类转移盈余管理具有显著的抑制影响,说明控股股东委派董事可以有效履行其监督职能;高管薪酬激励和高管股权激励在控股股东委派董事与分类转移盈余管理程度之间发挥了部分中介作用;机构投资者股权越大,分类转移盈余程度越低,但削弱了控股股东委派董事对分类转移盈余管理的正向监督效应。本文有助于完善控股股东委派董事监督分类转移盈余行为的影响路径,对上市公司调整高管激励结构和完善投资者治理具有重要的启示意义。     

薪酬差距与企业金融化的非线性影响机制研究

为探究薪酬差距这个带有激励色彩的因素,是否有助于缓解管理层的过度金融化,论文先是构建了一个理论模型来说明薪酬差距与企业金融化可能存在U型非线性关系,而后以沪深A股2009~2017年上市公司的16371个观测数据为样本进行实证检验。研究发现:薪酬差距与企业金融化存在显著U型非线性关系,过高和过低的薪酬差距激励都会造成管理层过度金融化,从而导致企业创新投入的挤占和企业生产本质的偏离。进一步研究显示,薪酬差距与企业金融化这种U型非线性关系,主要表现在低管理者代理行为、无缺陷内部控制和有审计委员会等较好公司治理的企业,而在高管理者代理行为、有缺陷内部控制和无审计委员会等弱公司治理的企业,虽有U型非线性关系但不显著。     

公司创业投资的薪酬激励问题分析

公司创业投资的财务收益和战略收益取决于投资企业和公司创投家的投入。本文运用博弈模型分析了公司创业投资的薪酬激励问题,结果表明:薪酬激励对公司创投家的努力程度具有正面影响,而对投资企业的支持力度具有负面影响。投资企业和公司创投家的能力与薪酬激励强度分别呈反向和正向关系,与对方的努力(支持)呈反向关系。项目战略利益与薪酬激励的关系则取决于投资企业和公司创投家能力的相对强弱。在此基础上,本文尝试为研究和实践提出相关建议。     

高科技公司中的高管特征与绩效的实证研究

与传统企业所有权和经营权分离不同的是,人力资本及其控制的无形资产对高科技企业价值的贡献相对于有形资产的重要性大大提高.高技术公司的治理与规范化公司的治理存在很大的差异,甚至是本质上的差异,这种差异主要来自于高技术企业人力资本的价值和团队合作.本文对高科技公司中的高管特征与绩效进行了实证研究.研究表明:在竞争激烈的高科技上市公司中,ROE与托宾Q值呈现显著正相关;高管人员持股比例总和与公司绩效指标(ROE)具有显著正相关关系;高管人员平均薪酬与公司绩效指标(ROE)具有显著正相关关系.建议高科技公司选好经理人,增加高管人员的持股比例及完善高管人员薪酬体制的建设,进而降低代理成本,提高公司绩效.     

上市公司盈余管理系列报道之六：弹性的边界

正能量盈余管理是CFO参与企业价值创造的阳光地带。根据管理层操控应计额进行盈余管理是出于机会主义动机,还是传递公司未来经营业绩的价值相关性信息,盈余管理属性可以划分两类：机会主义盈余管理和决策有用性盘余管理。其中,机会主义盈余管理的类型包括基于管理层收购、股票发行、股权激励、内部人交易及基于满足薪酬契约和债务契约的契约动机、规避政府行业监管和反托拉斯监管的监管动机盈余管理等;     

论水电企业的绩效考核与薪酬激励关系

我国经济迅猛发展,这对人才提出了更高层次的要求,自然而然企业人力资源管理工作也需要与时俱进。科学合理的绩效考核和薪酬激励在一定程度上能提升企业工作人员积极性,使其全身心投入到工作中,在水电企业中也是如此,本文以分析绩效考核与薪酬激励需要遵循的基本原则为切入点,深入探讨绩效考核与薪酬激励关系,以期为广大研究者提供理论支撑。     

Assessing gender and top-management-team pay in the S&P Mid-Cap and Small-Cap companies using data envelopment analysis

In this study, we use data envelopment analysis (DEA) to study gender equity in top-management-team compensation in the S&P Mid-Cap and Small-Cap companies. We find that female and male executives in these companies receive comparable compensation when controlling for differences in company performance, company size, and company pay philosophy.     

Application of the fuzzy–stochastic methodology to appraising the firm value as a European call option

The valuing of a firm equity as a call option is a crucial problem in financial decision-making. There are two basic aspects that are studied; contingent claim features (payoff functions) and risk (stochastic process of underlying assets). However, non-preciseness (vagueness, uncertainty) of input data is often neglected. Thus, a combination of risk (stochastic) and uncertainty (fuzzy instruments) could be a useful approach in calculating a firm value as a call option. The Black–Scholes methodology of appraising equity as a European call option is applied. Fuzzy–stochastic methodology under fuzzy numbers (T-numbers) is proposed and described. Fuzzy–stochastic model of appraising a firm equity is proposed. Input data are in a form of fuzzy numbers and result, firm possibility-expected equity value is also determined vaguely as a fuzzy set. Illustrative example is introduced.     

总部薪酬激励与内部资本市场配置效率

在内部资本市场代理理论的框架下,以非线性规划的库恩-塔克定理为主要工具,探讨了总部薪酬激励机制在内部资本市场配置中的关键影响.假定股权收益和私人投资收益是总部薪酬的主体,分部间的投资额取决于总部对股权收益和私人投资收益的权衡,这种权衡导致了内部资本市场的"平均主义".更进一步,投资总量内生时,追求股权收益和私人投资收益最大化,总部倾向于在各分部过度投资.     

Application of nonlinear filtering to credit risk

Merton’s model views equity as a call option on the asset of the firm. Thus the asset is partially observed through the equity. Then using nonlinear filtering an explicit expression for likelihood ratio for underlying parameters in terms of the nonlinear filter is obtained. As the evolution of the filter itself depends on the parameters in question, this does not permit direct maximum likelihood estimation, but does pave the way for the ‘Expectation-Maximization’ method for estimating parameters.     

Stochastic equity volatility related to the leverage effect II: valuation of European equity options and warrants

We propose a general framework to assess the value of the financial claims issued by the firm, European equity options and warrantsin terms of the stock price. In our framework, the firm's asset is assumed to follow a standard stationary lognormal process with constant volatility. However, it is not the case for equity volatility. The stochastic nature of equity volatility is endogenous, and comes from the impact of a change in the value of the firm's assets on the financial leverage. In a previous paper we studied the stochastic process for equity volatility, and proposed analytic approximations for different capital structures. In this companion paper we derive analytic approximations for the value of European equity options and warrants for a firm financed by equity, debt and warrants. We first present the basic model, which is an extension of the Black-Scholes model, to value corporate securities either as a function of the stock price, or as a function of the firm's total assets. Since stock prices are observable, then for practical purposes, traders prefer to use the stock as the underlying instrument, we concentrate on valuation models in terms of the stock price. Second, we derive an exact solution for the valuation in terms of the stock price of (i) a European call option on the stock of a levered firm, i.e. a European compound call option on the total assets of the firm, (ii) an equity warrant for an all-equity firm, and (iii) an equity warrant for a firm financed by equity and debt. Unfortunately, to compute these solutions we need to specify the function of the stock price in terms of the firm's assets value. In general we are unable to specify this expression, but we propose tight bounds for the value of these options which can be easily computed as a function of the stock price. Our results provide useful extensions of the Black-Scholes model.     

Number of alternatives and efficiency in different types of top-management decisions

What are the causes of the efficiency of complex strategic decisions? To answer this question, the impact of information searching, alternative designing, and complexity of a decision problem on its decision quality are analyzed in a longitudinal study of 83 top-management decisions, made the by executive board of a medium-sized firm (1380 employees). Decision quality is negatively influenced by the complexity of the decision problem. Alternative designing has a strong positive impact on decision quality. Information search shows no significant relationship to decision quality. The results indicate that designing of alternatives is an important instrument to counter the challenges of complex strategic decision-problems. However, one should not simply maximize the number of alternatives. There seems to be a very small optimal number beyond which decision quality will decrease. Besides, alternative designing has to be coordinated with other problem-solving activities, namely goal formation, process organization, and information searching.     

Optimal Liquidity management and Hedging in the presence of a non-predictable investment opportunity

In this paper, we develop a dynamic model that captures the interaction between a firm’s cash reserves, the risk management policy and the profitability of a non-predictable irreversible investment opportunity. We consider a firm that has assets in place generating a stochastic cash-flow stream. The firm has a non-predictable growth opportunity to expand its operation size by paying a sunk cost. When the opportunity is available, the firm can finance it either by cash or by costly equity issuance. We provide an explicit characterization of the firm strategy in terms of investment, hedging, equity issuance and dividend distribution.     

An intensity‐based approach for equity modeling

This paper analyzes an intensity‐based approach for equity modeling. We use the Cox–Ingersoll–Ross (CIR) process to describe the intensity of the firm's default process. The intensity is purposely linked to the assets of the firm and consequently is also used to explain the equity. We examine two different approaches to link assets and intensity and derive closed‐form expressions for the firms' equity under both models. We use the Kalman filter to estimate the parameters of the unobservable intensity process. We demonstrate our approach using historical equity time series data from Merrill Lynch. Copyright © 2011 John Wiley & Sons, Ltd.     

Optimal dividend strategies in a dual model with capital injections

We study three types of practical optimization problems faced by a firm that can control its liquid reserves by paying dividends and by issuing new equity. In the first problem, we consider the classical dividend problem without equity issuance. The second problem aims at maximizing the expected discounted dividend payments minus the expected discounted costs of issuing new equity over strategies associated with positive reserves at all times. The third problem has the same objective as the second one, but with no constraints on the reserves. Under the assumption of proportional transaction costs, we identify the value functions and the optimal strategies. We also present the relationship between three problems.     

A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options

We propose a general framework to model equity volatility for a firm financed by equity and additional non-equity sources of funds. The stochastic nature of equity volatility is endogenous, and comes from the impact of a change in the value of the firm's assets on the financial leverage. We first present the basic model, which is an extension of the Black-Scholes model, to value corporate securities. Second, we show for the first time in the option literature, that instantaneous equity volatility is a solution of a partial differential equation similar to Black-Scholes', although it is non-linear and in general does not have any analytical solution. However, analytical approximations for equity volatility are proposed for different capital structures: (1) equity and debt, (2) equity and warrants, and (3) equity, debt and warrants. They are shown to be very accurate.