方正科技净资产收益率期权激励模型的研究

【作者】 褚颖波；

【导师】 迟国泰；

【作者基本信息】 大连理工大学 ， 工商管理， 2004， 硕士

【摘要】 近几年来，随着以股东为中心及增进股东价值的公司理念的强调，经营者激励问题已经成为企业目前所普遍关注的问题，经营者期权在降低代理成本、关注股东权益及纠正经营者短视问题上发挥了其特殊性，因此自20世纪70年代在西方国家出现以来，得到了广泛的应用。但是传统股票期权在我国的现行市场运行机制和法制环境下却出现了种种问题，例如：股票来源问题、利益兑现问题、市场弱效率问题、市场操纵行为等，而且在西方国家的应用过程中也逐渐暴过同类问题。 国外在经营者股票期权的设计中开始采用一些新的手段来控制操纵行为，我国的一些学者也对如何设计一套符合我国企业现阶段实际情况的激励制度进行了研究。在参考和借鉴了现有实践和研究的基础上，本文的创新点在于不考虑股票的市场价格，直接利用净资产收益率这一综合性财务指标作为衡量经营者业绩的指标，通过其上下波动模拟期权价值的形成机理，利用布莱克—舒尔斯期权定价模型，建立了净资产收益率期权激励模型。 本文以方正科技公司为研究对象，通过分析其1991年到2003年9月30日的净资产及其收益的数据，为其设计了一个授权日为2003年10月1日，执行期限为3年的期权。利用布莱克—舒尔斯期权定价模型，计算出每个净资产收益期权单位的价值，企业可以直接根据应当授予经营者的奖金额度计算出授予期权的数量。 净资产收益率期权激励模型建立具有重要的意义，一是避免了股票价格非合理波动及市场操纵行为对股票期权实施的影响。二是回避了股票来源问题所造成的障碍，对非上市公司期权激励机制的建立提供了一些参考。三也是最重要的一点，通过对执行价格中目标净资产收益率的限制，使经营者的收益能更好的和企业的经营目标结合起来，因此具有一定的现实意义。最后，通过利用单一的财务指标，避免了综合财务指标运用过程中的一些主观判断问题，增强了计算结果的科学和合理性。更多还原

【Abstract】 In the recent years, the shareholders interests have been strongly emphasized, as a result, the companies have been paying more attention to the execute incentive measure .The Execute Stock Options(ESO) have shown its special roles in many aspects such as reduce the agent cost, focus on the shareholder’s interest and correct the executive short-sight. Since it’s emergence in the west country in 70’s, it has became more and more popular. But the application of the traditional stock option has shown many problems under the circumstance of our country, such as the sources of the stocks for ESO, the realization of the profits, the less effect of the stock market, the manoeuvre of the stock market operation and so on. The same problems also have been shown in the west country.Some measures have been taken in the design of the ESO in the foreign company, and some scholars in our country are also studying some models adapting to the actual circumstance. Reference to many researches in this field, this paper use the index of Return On Equity(ROE) directly in measuring the performance of the manager instead of the price of the stock. Simulating the mechanism of stock option, this paper has established a ROE stimulate option model by using the Black-Scholes Option Pricing Models.This paper collects the ROE data of the Fangzheng Science and Technology CO.,LTD. from 1991 to Sep.30,2003 and design a stock option model. The date of authorization is OCT. 1,2003 and the validity term is 3 years. By using the Black-Scholes Option Pricing Models, this paper calculates the value per ROE option unit. The enterprise can work out the number of option base on the budget of every manager’s bonus.The significance of this model is as following:Reduce the effect of the stock price unreasonable fluctuation and the manoeuvre of the stock operation; Avoid the obstacle of the stock resources for the ESO and give some reference to the un-public companies; Integrate the profit of the manager with the goal of the company through the restriction for the target ROE in the execute price; Avoid the subjectivity by using single financial index, making the result more scientific and reasonable.更多还原