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Evolution et sensibilité des stock-options : cas du marché français

Author

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  • Abdelaziz Elmarzougui

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

Ce papier étudie l'évolution et la sensibilité de la valeur des stock-options attribuées aux dirigeants de dix-huit grandes entreprises du CAC40 entre 1994 et 2003. Une base de donnée portant sur 184 plans d'attribution de stock-options par ces entreprises est utilisée afin de suivre l'évolution et la sensibilité de la valeur des stockoptions aux variations de la valeur boursière, du prix d'exercice et de la volatilité. Trois périodes d'analyse ont été considérées : avant, pendant et après la bulle boursière de la fin des années 1990. Nos résultats montrent que les stock-options en France ont évolué d'une manière spectaculaire entre 1994 et 2003. Leurs valeurs étaient étroitement liées aux variations des cours boursiers et du prix d'exercice. En outre, nous trouvons que la sensibilité des stock-options à la volatilité est plus importante pendant la période du gonflement de la bulle qu'avant ou après. Ainsi la sensibilité des stock-options aux paramètres d'évaluation n'est pas monotone, elle est fonction de l'évolution du marché.

Suggested Citation

  • Abdelaziz Elmarzougui, 2006. "Evolution et sensibilité des stock-options : cas du marché français," Working Papers hal-04138526, HAL.
    • Handle: RePEc:hal:wpaper:hal-04138526
    Note: View the original document on HAL open archive server: https://hal.science/hal-04138526
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    References listed on IDEAS

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