| dc.contributor.author | Bahaji, Hamza | |
| dc.date.accessioned | 2012-06-23T14:16:45Z | |
| dc.date.available | 2012-06-23T14:16:45Z | |
| dc.date.issued | 2011-12 | |
| dc.identifier.uri | https://basepub.dauphine.fr/handle/123456789/9550 | |
| dc.language.iso | en | en |
| dc.subject | Stock-options | en |
| dc.subject | Exercise behavior | en |
| dc.subject | Cumulative Prospect Theory | en |
| dc.subject | Fair value | en |
| dc.subject | Option valuation | en |
| dc.subject.ddc | 332 | en |
| dc.subject.classificationjel | G13 | en |
| dc.subject.classificationjel | G30 | en |
| dc.subject.classificationjel | J33 | en |
| dc.subject.classificationjel | M41 | en |
| dc.title | Cumulative Prospect Theory, employee exercise behaviour and stock options cost assessment | en |
| dc.type | Communication / Conférence | |
| dc.description.abstracten | This research provides an alternative framework for the valuation of standard employee stock options and for the analysis of exercise behavior patterns. It develops a binomial model where the exercise decision obeys to a policy that maximizes the expected utility to a representative employee exhibiting preferences as described by
the Cumulative Prospect Theory (CPT). This model also accounts for exogenous non-market factors that may
cause early exercise. Using a large database on stock options exercise transactions in 12 US public corporations,
we examined the performance of our model in predicting actual exercise patterns. Interestingly, the model
calibrations yield probability weighting coefficient estimates that are consistent with the estimates from the
experimental literature. Further, our results suggest that the CPT-based model outperforms the Expected Utility Theory-based model in predicting actual exercise patterns in our sample. These findings convey the main
contribution of this paper which is the strong ability of the CPT framework to explain the employees exercise
behavior. It therefore provides rationale for using this framework in order to get more accurate fair value
estimates of employee stock options contracts. | en |
| dc.identifier.citationpages | 50 | en |
| dc.description.sponsorshipprivate | oui | en |
| dc.subject.ddclabel | Economie financière | en |
| dc.relation.conftitle | 29th Spring International Conference of the French Finance Association | en |
| dc.relation.confdate | 2012-05 | |
| dc.relation.confcity | Strasbourg | en |
| dc.relation.confcountry | France | en |
