本文選題：非完備市場(chǎng)　切入點(diǎn)：員工持股計(jì)劃　出處：《湖南大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：員工持股計(jì)劃是面向廣大普通員工的股權(quán)激勵(lì)制度，可以有效激發(fā)員工的積極性，提高公司效益。本質(zhì)上，員工持股計(jì)劃(ESOP)是一種受交易限制的不可流通股票，然而與一般的不可流通股票不同的是，ESOP的投資者是公司的員工，員工兼具投資者和公司勞動(dòng)者的二元屬性，一般來(lái)說(shuō)，，ESOP對(duì)員工有正向的激勵(lì)特性，提高公司的運(yùn)作效率，進(jìn)而影響公司的股票定價(jià)。根據(jù)前人的研究，這種股權(quán)的激勵(lì)特性對(duì)公司股價(jià)影響是不確定的，故而對(duì)ESOP的定價(jià)也產(chǎn)生了影響。該影響不能通過(guò)簡(jiǎn)單的構(gòu)造市場(chǎng)組合進(jìn)行復(fù)制對(duì)沖，這是就是為什么無(wú)法采用簡(jiǎn)單的風(fēng)險(xiǎn)中性定價(jià)方法，必須采用效用無(wú)差別定價(jià)方法的原因。 本文采用效用無(wú)差別原理對(duì)ESOP進(jìn)行定價(jià)研究，根據(jù)ESOP的激勵(lì)特性，在非流通的ESOP資產(chǎn)中引入激勵(lì)收益項(xiàng)，結(jié)合最優(yōu)投資策略，利用連續(xù)時(shí)間隨機(jī)控制原理，得出HJB方程，再根據(jù)效用無(wú)差別原理，推導(dǎo)出ESOP所滿足的偏微分方程，建立ESOP的效用無(wú)差別定價(jià)模型。 采用有限差分法對(duì)ESOP定價(jià)模型進(jìn)行數(shù)值求解。結(jié)果表明：當(dāng)風(fēng)險(xiǎn)厭惡系數(shù)足夠大時(shí)，ESOP效用無(wú)差別價(jià)格隨著封閉期延長(zhǎng)反而會(huì)降低；ESOP的效用無(wú)差別價(jià)格隨激勵(lì)波動(dòng)率的增加而單調(diào)遞增。ESOP設(shè)計(jì)者需要高超的激勵(lì)藝術(shù)，既要考慮他們的風(fēng)險(xiǎn)態(tài)度，還要特別考慮到員工兼具投資者的二元屬性，使員工的利益確實(shí)與公司相一致，為員工帶來(lái)“主人翁”的心理優(yōu)越感。如果激勵(lì)機(jī)制不夠好，員工就會(huì)有“搭便車”的順大流的心理狀態(tài)，甚至?xí)䦟?duì)ESOP產(chǎn)生逆反心理，這樣公司的績(jī)效也會(huì)隨之受到不良影響。
[Abstract]:ESOP is an incentive system for the majority of ordinary employees, which can effectively stimulate the enthusiasm of employees and improve the efficiency of the company. In essence, ESOP (employee Stock ownership Plan) is a non-negotiable stock subject to transaction restrictions. However, unlike ordinary non-tradable stocks, ESOP investors are employees of the company, and employees have dual attributes of both investors and company workers. Generally speaking, ESOP has positive incentive characteristics for employees and improves the company's operational efficiency. According to previous studies, the incentive characteristics of this kind of equity are uncertain to the stock price of the company. Therefore, the pricing of ESOP can not be replicated and hedged by simply constructing the market combination, which is why we cannot adopt the simple risk-neutral pricing method and must adopt the utility non-differential pricing method. In this paper, we study the pricing of ESOP by using the principle of utility non-difference. According to the incentive characteristics of ESOP, we introduce the term of incentive income into the non-circulating ESOP assets, combine with the optimal investment strategy, and use the principle of stochastic control of continuous time to obtain the HJB equation. Then, according to the principle of utility non-difference, the partial differential equation satisfied by ESOP is deduced, and the utility nondifferential pricing model of ESOP is established. The finite difference method is used to solve the pricing model of ESOP. The results show that when the risk aversion coefficient is large enough, the utility price of ESOP decreases with the increase of the closed period. The increase in mobility and monotonous increase. ESOP designers need superb incentive art, We should not only consider their risk attitude, but also give special consideration to the dual nature of both employees and investors, so that the interests of employees are indeed consistent with the company, and bring the employees a sense of psychological superiority of "master". If the incentive mechanism is not good enough, Employees will have a "hitchhiker" mentality, or even reverse the ESOP, so the company's performance will be adversely affected.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F275;F276.6

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