相对业绩与投资组合思想在期权激励契约设计中的应用

The Application of Relative Performance and Portfolio Idea in Option Pay Design

传统股票期权激励契约以股票价格来度量经理人的业绩,但股票价格实际上受到经理人不可控因素(系统风险)的影响,从而导致用股票价格来衡量经理人业绩时会出现反向激励现象,错误惩罚有能力的经理人或慷慨奖励无能的经理人。针对传统股票期权激励契约的缺陷,一些学者把期权激励契约的执行价格和一些指数相联系起来,消除了部分市场水平噪音对期权激励契约的影响。但这种绝对指数股票期权也没有改变指数期权激励契约的结构性缺陷,即不能完全消除市场和行业噪音对期权激励契约的影响。因此,本文借鉴相对业绩和投资组合思想,重新对股票期权的执行价格进行设计,即改变期权到期时权益结构或把执行价格设计成基准绩效投资组合形式,从而达到完全消除市场和行业噪音对期权激励契约的影响,提高期权报酬契约的绩效。

Traditional option incentive contracts measure manager performance with stock price,but stock price in capital market really is affected by system risk,which leads to reversed incentive.That is to say,it incorrectly punishes capable manager or bounteously award incapable manager.In allusion to the limitation of traditional stock option,a few academicians removes the effects of market and industry noise on option incentive contract through the link of the exercise price of option incentive contract and some index.But the absolute index option can't change the structural shortcoming of index option incentive contract,that is to say,they can't incomplete remove the effects of market and industry noise on option incentive contract.Accordingly,this paper anew designs the exercise of stock option in line with relative performance and portfolio idea,that is to say,the paper complete removes the effects of market and industry noise on option incentive contract through changing beneficial structure of expect and designing based performance portfolio with exercise price.