De l’évaluation des stock options en « juste valeur » : apport de l’approche comportementale
- Casta, Jean-François
Our research focuses on the relevance of the descriptive framework to the representation of decisional behavior aspects in financial instruments fair value models. This issue is analyzed in the case of stock options through three essays: The first paper gives rise to new behavioral factors affecting exercise decision of stock option holders. These findings underscore the importance of considering behavioral factors in the stock options fair value models. In the second essay we examine stock options subjective valuation and the implied incentive effects to a cumulative prospect theory (CPT) representative employee. Our model predicts that the employee may overestimate the value of his options in-excess of their risk-neutral value. In addition, the model incentive effects predictions are consistent with actual compensation practices. The last essay relies on the CPT framework to provide an alternative approach for the valuation of standard employee stock options and for the analysis of exercise behavior patterns. Our empirical analysis proved that the CPT model is the best performing among many competing models in predicting actual exercise patterns.
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Keywords: Fair Value; Decisional Behavior; Cumulative Prospect Theory; Exercise Behavior; Behavioral Finance; Accounting Standards; Juste Valeur; Stock Options; Comportement Décisionnel; Théorie des Perspectives; Comportement d'Exercice; Finance Comportementale; Normes Comptables;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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- Tversky, Amos & Kahneman, Daniel, 1992. " Advances in Prospect Theory: Cumulative Representation of Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 297-323, October.
- David Yermack, 1996.
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- Yermack, David, 1997. " Good Timing: CEO Stock Option Awards and Company News Announcements," Journal of Finance, American Finance Association, vol. 52(2), pages 449-76, June.
- Danyang Xie, 1999.
"Power Risk Aversion Utility Functions,"
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22, China Economics and Management Academy, Central University of Finance and Economics, revised Oct 2000.
- Tatsuya Yonetani & Yuko Katsuo, 1998. "Fair value accounting and regulatory capital requirements," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 33-43.
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