[[alternative]]An Empirical Study on the Fitness of Indexed Stock Options for Taiwan's Listed Companies

碩士商業教育學系[[abstract]]員工認股權證制度的施行不僅能夠為公司降低代理成本，且能 以員工實質的貢獻，來決定其薪資的薪酬制度，並藉以激勵員工努力 工作。因此，近年來逐漸為國內企業所採用，甚至有漸漸取代員工分 紅配股的趨勢。可是，當景氣熱絡而整體上市公司股價呈現普遍上 漲，或者市場低迷而上市公司股價普遍重挫時，國內目前所採行的認 股價格固定之傳統型員工認股權證的誘因效果屢遭質疑。因此，本研 究引用Johnson and Tian (2000)以及Duan and Wei (2003)的絕對指數型與相對指數型員工認股權證評價模型，以國內所有已發行員工認股權證的上市公司為研究對象，比較傳統型、絕對指數型與相對指數型之員工認股權證的發行成本及誘因效果，進行國內上市公司採行員工認股權方式的適用性評估。 由本研究之實證結果建議國內發行員工認股權證之上市公司應 就公司股價價位與風險水準兩方面作為選擇薪酬工具的標準，若公司 股價偏低、雖已從事適度之高風險投資方案仍無法減緩代理問題的產 生時，公司應授與經理人相對指數型員工認股權證，因其能以相對於 產業指數績效來公平決定權證價值，且發行成本較低、於價外的股價 誘因參數值(Delta)最高而於公司風險高時的風險誘因參數(Vega)亦為三者中最高之權證；反之，若公司股價較高，或經理人風險趨避程度過低而產生投資不足的問題時，即使傳統型員工認股權證未能排除市場景氣的影響、僅以公司股價絕對表現決定經理人薪資，但於深度價內的傳統型員工認股權證之股價誘因效果仍為三者之冠，且風險誘因效果亦於公司風險較低時亦較高，故建議倘若公司的資金成本太高而不適宜投資高風險方案者，無須以指數型員工認股權證取代之。[[abstract]]Executive stock options can not only reduce agent cost but inspire employees to work hard. However, since the stock price of all listed companies would increase or decrease easily in the bull or bear market,the incentive effect of traditional stock options that have the fixed strikeprice and that are put into practice at present has always been doubted.Therefore, the absolutely indexed stock options model of Johnson and Tian (2000) and the relatively indexed stock options model of Duan and Wei (2003) are used to compare the issuing cost and incentive effects among traditional, absolute and relative indexed stock options in Taiwan’s listed companies. Empirical results indicate that both firms’ stock price and risk are suggested to be considered at the same time when enterprises make strategies of compensation. When firms’ stock price are lower and agent problems are still serious though risky investment projections have been made, relatively indexed stock options are suitable to be issued as the fairly-awarded pricing model in accordance with firms’ relative performance, lower issuing cost, the largest stock incentive parameters (Deltas) when out-of-the-money and the best risk incentive effects at higher degree of firm risk. As for the companies with higher stock price but few risky investments, granting traditional stock options would be the best choice because it can create superior stock incentive effects when deep in-the-money and greater risk incentive parameter (Vegas) at lower degree of firm risk