기업특성별 스톡옵션제도 도입효과

김선구 ( Kim Seon-gu ),홍정화 ( Hong Jeong-hwa ),이장희 ( Lee Jang-hee ) 한국회계정책학회 2005 회계와 정책연구 Vol.10 No.2

본 연구는 스톡옵션도입이 기업의 중·장기적인 경영성과에 미치는 영향을 분석하고, 기업특성별 스톡옵션 도입효과를 분석함으로써 과연 우리나라에서 스톡옵션이 기업의 성과를 높일 수 있는 수단으로 활용될 수 있는가를 검증하고자 한다. 실증분석에서는 스톡옵션 도입 년을 중심으로 도입 전과 도입 후의 경영성과 차이가 유의적인가를 t-검증을 통하여 분석하였다.본 연구의 결과를 요약하면 다음과 같다.첫째, 스톡옵션 부여기업의 스톡옵션제도 도입에 의한 경영성과에 미치는 효과가 나타나지 않았다. 이것은 스톡옵션제도 도입이 기업의 단기적인 경영성과와 중장기적인 성장을 도모하고, 경영자로 하여금 주가의 극대화를 위한 의사결정을 유도함으로써, 궁극적으로 주주의 이익을 극대화시킬 것이라는 기대와 일치하지 않은 결과가 나타났다.둘째, 도입기업의 특성별 분석결과, 기업규모에 따른 효과에 있어서는 상대적으로 규모가 큰 대기업의 일부 변수에서 도입효과 차이가 나타났으나, 중·소기업은 도입효과 차이가 나타나지 않았다. 대주주지분율과 외국인지분율의 집단별 도입효과 차이가 나타나지 않았다. 또한 재벌기업군분석에 있어서는 집단별 스톡옵션 도입효과 차이가 나타나지 않았다.스톡옵션 제도를 오래전에 도입하여 제도시행에 따라 나타나는 많은 문제점을 해결하고, 규제 및 기업 상황에 적절히 시행하고 있는 선진국의 제도를 무조건적으로 받아들이는 것은 옳지 않다고 생각한다. 이 같은 결과는 도입 초기 우리나라 기업들의 사정이 많이 다르기 때문에 나타난 결과로 볼 수 있으며, 우리나라 기업의 사정에 적합한 법규와 시행에 따른 제도의 정비가 필요하다고 보아진다. The intention of this thesis is to analyze the influence on medium and long term business administration results of the enterprise's introduction of stock option, to analyze the effectiveness of the introduction of the stock option on the basis of the characteristic of the enterprise, and to verify if the stock option can be used as a means of the way to promote the result of enterprise. At the positive analysis, this thesis analyzed if the difference is significant or not, centering on the year when stock option was introduced through t-verification.The study results are as followings.First, the enterprise introducing the stock option had not influence on administration result from the introduction of stock option. It was not in accordance with the expectation that the introduction of stock option would plan ahead short term administration results and medium term growth, lead to administrators' decision making for the enhancement of stock price, and enhance stock holders' maximum profits.Second, this thesis analyzed the characteristic of the enterprise introducing the stock option. As for the effectiveness on the basis of enterprise scales, relatively large scale enterprises had difference in introduction effectiveness in some variables, but medium & small enterprises did not have introduction effectiveness. As for largest investors' equity ratio, the groups did not have difference in introduction effectiveness. A theory describes that if the largest investors' equity get increased, it is possible that the agency's cost will be spent more, and they will decrease agency's cost. But the result was not in accordance with the expectation. As for foreigners' equity ratio, the introduction effectiveness did not have difference in groups. An existing study describes that foreign investigators will want the maximum value due to reasonable administration and the fruit of enterprise will be affirmative. But the result was not in accordance with the expectation. As for the analysis of plutocrat group, stock option instruction effectiveness did not have difference in group. A theory describes that non-plutocrat group will introduce stock potion system positively and use the system for the result of enterprise. But, it was different from the study, that is, there was no stock option effectiveness. It is not reasonable that our country accept the advanced countries' system without consideration, though the countries can solve a lot of problems by carrying out stock option system for a long time and controling enterprise situations. It is why the enterprises in our country are different from others from the beginning of introduction. So the adjustment of systems has to be put on the basis of suitable laws and enforcements.

Investigating the Theoretical and True Option Values with a Variety of Option Pricing Models : Based on the KOSPI 200 Stock Index Options

김규태,정수희 한국경영공학회 2010 한국경영공학회지 Vol.15 No.2

Abstract – Black and Scholes published the seminal paper "The Pricing of Option and Corporate Liabilities (8)" in 1973. The Black & Scholes model marked an epoch in trading options in an orderly market with well-defined contracts in 1973. An as the expiration date comes closer and closer thanks to their contribution, much research on valuing options has been actively conducted. For instance, Cox, Ross, and Rubinstein proposed a binomial lattice option pricing model in 1976. In Korea, the option market was introduced with the KOSPI 200 stock index option on the 7th day of July in 1997. Since then, the option market has been steadily growing. As the option market grows, it is required that the investors obtain an accurate option value. However, it is not easy to know the accurate option value in advance mainly due to the volatility of the options. In this paper, we will analyze the option pricing models to compare the theoretical option values with the option prices traded in a Korean option market. To provide theoretical option values, Black & Scholes model and binomial lattice option pricing model, which are most widely used, will be employed and a Monte Carlo simulation will be followed for the option price presumption and analysis. For the empirical analysis purpose, we will use the KOSPI 200 stock index option data from January to December in 2008 and 2009. The set of data was collected from a daily closing stock and option price list. For the comparison purpose, we will conduct a statistical analysis with the data collected to provide a validity test.

실물옵션을 이용한 가치평가와 투자의사 결정:IT 프로젝트 사례를 중심으로

양동훈,이준서,남찬기,박기재,곽명재 한국경영학회 2006 Korea Business Review Vol.10 No.1

Under traditional analysis of the capital budgeting, it is assume that management cannot react to deviation from the expected scenario of cash flows. In practice, however, it is less likely that the expected scenario will come true when new information arrives and uncertainty is resolved. Uncertainty and risk can be influenced through ‘managerial flexibility’, which becomes a central instrument for value creation. Real option framework takes this managerial flexibility into account. Therefore, it is more appropriate to use real option method to evaluate the project than the traditional DCF (discounted cash flow) tool if the firm has high volatility of the expected returns. In this study, we analyze the project evaluation using real option through case study about an IT firm that considers the investment of a project called as portal ASP(Application Service Provider). We use replicating portfolio approach, one of the applied binomial option pricing model, for option pricing and employ Monte Carlo simulation to estimate the standard deviation of rate of returns. This study finds the project that is rejected by DCF tool can be accepted if we use real option methodology. This result suggests that real option can be appropriate tool to evaluate the project if the firm has managerial flexibility under the uncertainty. 전통적인 자본예산 분석에서는 사업분석 시 현금흐름이 이미 결정되어 수행기간동안 변하지 않는다고 가정한다. 하지만 현실적으로 볼 때 새로운 정보가 유입되고 그에 따른 불확실성이 해소되면 기업은 경영상의 유연성을 가지게 되며 예상된 현금흐름의 시나리오는 변할 수 있다. 이러한 경영상의 유연성(managerial flexibility)은 기업들에게 회피하려고만 했던 불확실성이 투자기회의 가치를 증대 시킬 수도 있다는 새로운 인식을 하게했다. 이 같은 경영상의 유연성을 측정할 수 있는 수단이 실물옵션(real options)이며 기초자산의 변동성(volatility)이 높은 기업일수록 전통적인 순현가법(DCF: discounted cash flow)보다 실물옵션을 이용한 투자의사결정 방법이 보다 논리적일 수 있다. 이에 따라 본 연구에서는 실물옵션을 활용한 가치평가 방식이 어떻게 기업의 투자의사 결정에 적용될 수 있는가를 실제 사례분석을 통해 알아 보았다. 즉, 실물옵션분석 기법을 인터넷 포털 ASP(Application Service Provider) 사업에 진출하고자 하는 IT기업의 사례에 적용해 보았다. 실물옵션 가격결정 모델로는 이항옵션 모델의 하나인 복제 포트폴리오 방법 (replicating portfolio approach)을 사용했으며 몬테카를로 시뮬레이션을 이용해 기대가치의 변동성에 대한 추정치를 얻었다. 분석결과, 전통적인 순 현가법을 적용했다면 기각될 수 있는 프로젝트가 실물옵션 투자의사결정 방법을 사용할 경우 채택될 수 있음을 보여주었다. 이 같은 결과는 불확실성 하에서 유연한 단계적 의사결정이 가능한 경우 실물옵션은 경영의사결정의 유용한 대안이 될 수 있다는 것을 의미한다고 할 수 있다.

베리어옵션의 헤지

류두진 한국기업경영학회 2011 기업경영연구 Vol.18 No.1

This study investigates the hedging effectiveness of and strategies for barrier options, which are widely used to design the payoff structure of exotic derivative products such as KIKO (knock-In, knock-Out) options and ELWs (equity-linked warrants). Although investors have traditionally focused on pricing and hedging exchange-traded derivatives, such as index futures and plain-vanilla options, recently, not only professional investors but also individual investors and small or venture firms have become increasingly interested in more complicated derivative assets in OTC (over-the-counter) markets. However, as the recent financial crisis and its effect on many small firms who have declared bankruptcy as a result of aggressively investing in KIKO options or other complicated derivative products indicate, there is a need for carefully evaluating such new derivative products and acquiring the necessary financial knowledge for adequately managing them. Further, there should be more serious research on and wider discussion of the ways in which various risks from such new financial products could be hedged and managed. Although a large number of studies examine the empirical performance of option pricing models and analyze the pricing ability and hedging effectiveness of such models for plain-vanilla options, few address the issue of hedging barrier options. In this regard, this study focuses on the issue of hedging barrier options by considering various economic situations which are generated by Monte Carlo simulation method. More specifically, this study examines the performance of the classical dynamic hedging (delta hedging) and analyzes the static hedging approaches proposed by Derman et al.(1994). To the best of the author’s knowledge, this paper is the first to consider the hedging effectiveness of barrier options. This study contributes to the previous literature as follows. The study 1) considers five cases for the analysis of the underlying stock process by varying simulation parameters, 2) examines the performance of delta hedging across these cases, and 3) compares the effectiveness of delta hedging with that of static hedging for each case. These five cases are as follows: 1) when the economic environment is normal, 2) when the underlying volatility is high, 3) when the underlying stock price approaches the barrier, 4) when there are no transaction costs, and 5) when the drift term for the underlying process has a negative value. For each case, this study evaluates the performance of delta hedging across portfolio rebalancing periods and examines the performance of static hedging across several types of hedging instruments (e.g., plain-vanilla options with different strike prices and maturity dates). The empirical results indicate that whereas static hedging is relatively stable and effective, dynamic hedging is unstable and ineffective, particularly when the volatility of the underlying stock price is high (Case 2) or when the price of the underlying stock approaches the barrier (Case 3). The results also imply that static hedging performs even better when (hypothetical) longer-term options are used together with currently traded KOSPI 200 options and suggest some ways in which barrier options could be priced through the static hedging approach. 본 연구는 최근 들어 기업이 투자 및 위험관리의 목적으로 관심을 갖게 된 KIKO와 같은 장외파생상품의 수익구조설계에 널리 활용되는 베리어옵션의 헤지전략에 대하여 살펴본다. 구체적으로, Knock- In 혹은 Knock-Out형태의 수익구조를 갖는 이색옵션인 베리어옵션에 대하여, 동적헤지의 대표적인 헤지방법인 델타헤지와 Derman, Ergener, and Kani(1994)가 제시한 정적헤지의 성과를 모의실험방법을 사용하여 조사해본다. 구체적으로, 극단적인 경우를 포함한 다양한 경제상황을 묘사할 수 있도록 기초자산의 확률과정의 모수를 변화시키면서 기초자산의 가격경로를 생성하고, 베리어옵션의 이론적인 폐쇄해와 델타값을 유도하여, 재조정주기에 따른 동적헤지의 성과를 비교하였다. 또한, 다양한 기초자산의 확률과정마다, 헤지에 사용되는 표준옵션의 종류와 수를 바꾸어 가면서 정적헤지의 성과를 살펴보았다. 기초자산가격의 변동성이 크거나, 기초자산의 가격이 베리어옵션의 설정된 경계값 근처에서 움직일 때 매우 불안정한 헤지성과를 보인 동적헤지의 경우와는 달리, 정적헤지의 성과는 대체로 안정적이고 유효했으며, 현재 한국거래소에서 거래되는 표준옵션들보다 만기가 긴 옵션들이 활용된다면, 정적헤지의 성과는 더욱 우월해질 것으로 판단된다. 또한 정적헤지의 방법론을 적용하면 베리어옵션과 같은 이색옵션의 적절한 가격결정을 할 수 있을 것으로 기대된다.

이론적 옵션가격모델의 실증적 연구

정수희(Su-Hee Jung),김규태(Gyu-Tai Kim) 대한산업공학회 2008 대한산업공학회 추계학술대회논문집 Vol.2008 No.11

Black and Scholes published the seminal paper "The Pricing of Option and Corporate Liabilities" in 1973. The Black-Scholes model marked an epoch in trading options in an orderly market with well-defined contracts in 1973. And thanks to their contribution, much research on valuing options has been actively conducted. For instance, Cox, Ross, Rubinstein proposed a binomial lattice option pricing model in 1976. In Korea, the option market was introduced with the KOSPI200 stock index option at the 7th day of July in 1997. Since then, the option market has been steadily growing. As the option market grows, it is required that the investors obtain an accurate option value. However, it is not easy to get the accurate option value mainly due to the volatility of the options. In this thesis, we will analyze the option pricing models to compare the theoretical option values with the option prices trading in a real market. As the option pricing models to provide a theoretical option values, Black-Scholes and a binomial lattice option pricing models, most widely used, will be employed and a Monte Carlo simulation will be performed for option price presumption and analysis. For the empirical analysis purpose, we will use the KOSPI200 stock index option data from January to December in 2006. The data was collected from a daily closing stock and option prices. For the comparison purpose, we will conduct a statistical analysis with the data collected to take a validity test.

판례평석 : 자회사(子會社)의 임직원(任職員)이 외국법인(外國法人)인 모회사(母會社)로부터 받은 주식매수선택권(株式買受選擇權)과 관련된 소득과세(所得課稅)의 방법(方法) -대법원 2007. 10. 25. 선고 2007두1941 판결-

윤지현 ( Ji Hyun Yoon ) 서울대학교 법학연구소 2008 서울대학교 法學 Vol.49 No.4

대법원 2007. 10. 25. 선고 2007두1941 판결은 子會社의 任職員이 근로 제공의 상대방이 아닌 母會社, 특히 외국법인인 母會社로부터 스톡옵션을 받은 경우의 과세 문제를 다루고 있는데, 이 사건 판결은 (1) 고용관계를 전제로 하여 부여되는 스톡옵션 일반에 관한 과세방법, (2) 그러한 스톡옵션이 근로 제공의 상대방 회사가 아니라 그 회사와 일정한 관계에 있는 다른 회사(특히 母會社)로부터 부여된 경우의 과세방법, 그리고 (3) 이러한 스톡옵션의 부여 주체가 외국법인인 경우의 과세방법에 관하여 대법원의 입장을 보여 주고 있다는 점에서 의미가 있다. 대법원은 이 사건 판결에서, 이미 (1) 쟁점에 관하여는 스톡옵션의 附與時點이 아닌 行使時點에서 그 行使差益을 과세하여야 한다는 입장을 2006년의 다른 未公刊 판결에서 表明하였던 것을 다시 확인하고 있고, (2) 쟁점에 관하여는 스톡옵션이 고용관계와 일정한 관련 하에서 부여된 이상 그 부여 주체가 누구인지에 관계없이 근로소득에 해당한다고 판단하고 있으며, (3) 쟁점에 관하여는 스톡옵션의 부여 주체가 외국법인이라면 이러한 근로소득은 을종의 것이라고 본 기존의 과세관청의 입장을 그대로 받아들이고 있다. 이 사건 판결은, 筆者의 견해로는, 우리 소득세법 하에서 어떤 財産上 이익이 발생하였다는 것만으로 바로 과세하는 것이 아니라 그러한 이익에 관한 적절한 課稅時點을 찾아 그 시점에서 비로소 과세하는 것이라는 견해가 일반적으로 받아들여져 있다는 점, 그리고 근로 제공의 대가로 스톡옵션을 부여하는 경우에도 현금이나 現物을 교부하는 경우와 균형을 맞추어야 한다는 점에 비추어 볼 때 (1) 쟁점에 관하여 타당하고, 소득을 法律上 누가 지급하느냐와 같이 당사자들이 쉽게 임의로 법률관계를 형성할 수 있는 사항에 의하여 근로소득 해당 여부가 좌우되도록 하는 것은 옳지 않다는 의미에서 (2) 쟁점에 관하여도 타당하며, 다만 이러한 소득을 乙種 근로소득으로 보는 것은 근로를 제공 받는 상대방 회사가 국내에 분명히 존재함에도 불구하고 외국에 소재한 회사로 하여금 급여를 지급하도록 함으로써 쉽게 源泉徵收義務를 피하고 전체적인 稅負擔을 줄일 수 있게 한다는 점에서 (3) 쟁점에 관하여는 타당하지 않다. The Korean Supreme Court (hereinafter the "Court") rendered on October 25, 2007, a landmark decision on when and how to tax a stock option granted by a foreign parent company to an employee who provides her service for a Korean subsidiary or a Korean branch of a foreign subsidiary. Firstly, the Court in this decision held that the grant of a stock option itself is not a taxable event, but the spread between the fair market value of the shares and the option price (hereinafter the "Gain") should be taxed as "employment income" when the option is exercised, which conclusion was already reached in an unpublished 2006 decision of the Court. Secondly, the Court held that, as long as the grant of a stock option is to a certain extent connected with employment, then the Gain should be qualified as "employment income" regardless of whether or not the taxpayer is employee of the grantor of the stock option. Thirdly and lastly, the Court accepted the position long taken by the tax authorities that, if the stock option is granted by a foreign parent company, then the Gain falls within the category of "Eul"-type employment income, which means that the Korean subsidiary, who is the legal employer of the taxpayer, is not subject to any withholding requirement under the Korean tax law. I believe that the first part of the holding is correct because, under the Korean income tax law, not just any betterment of one`s economic position is recognized as income, but it is always necessary to find the most appropriate timing of taxing such betterment, and in the event of a stock option, the exercise of the option should be viewed as such appropriate taxable event. This holding is also equitable when compared with cases where employees first agree to receive certain in-kind compensation and afterwards actually do receive such compensation. I also agree with the second part of the holding in that it is not desirable to determine tax implications based on such easily manipulable decision as which of the two companies, i.e. parent company or the subsidiary, pays the income to the employee. However, I do not agree with the third part of the holding. By holding that the Gain is "Eul"-type when the stock option is granted by a foreign parent, the Court effectively allow, the Korean subsidiary to avoid Korean withholding tax, and the employees to reduce Korean personal income tax burden because, even when they duly file tax returns to the Korean tax authorities, they are entitled to 10% tax credit which is not allowed with respect to "Kap"-type employment income. Since parent-granted stock option is an economic equivalent of a mixture of the parent transferring certain benefit to its subsidiary and the subsidiary paying compensation out of this benefit, here the "Gain" should be qualified as "Kap"-type, and thus subject to Korean withholding tax just like cash or in-kind compensation received directly from the subsidiary.

KOSPI200 옵션 거래금액 비율을 이용한 지수 수익률 예측

김솔,남태수 한국재무학회 2023 財務硏究 Vol.36 No.3

We empirically analyze the effect of information transfer between the KOSPI200 option market and the stock index market using the call/put option trading value ratio. According to the theoretical framework proposed by Chen et al. (2005), the ratio of call/put trading values is calculated every minute in order to estimate the probability ratio of the index increasing versus decreasing. Then, we implement the indicator-following trading strategy, which buys the index when the benchmark call/put ratio increases more than the pre-defined sensitivity threshold and sells the index when the benchmark call/put ratio decreases more than the sensitivity. Using the calculated daily returns of the indicator-following trading, we test whether the indicator-following trading strategy significantly outperforms the simple buy-hold strategy that takes a long position on the index at the beginning of the market and clears the position when the market closes for each day. If returns of indicator-following trading are significantly larger than the returns of the buy-hold strategy, the empirical results can support the hypothesis that information is disseminated from the KOSPI200 options market to the stock index market, and the call/put ratio can be treated as a predictive information variable. By controlling various environments of indicator-following trading, we investigate market conditions for maximizing the price discovery effect of our information variables: trading timing, trading sensitivity, volatility of the index, time to maturity of the option, and call/put ratios for different moneyness. In addition, we compare the return predictability of our information variables to the call/put option trading volume ratio, take account of transaction costs, and examine the effect of lowering the trading multiplier of the KOSPI200 option. The results of our study are as follows. First, the indicator-following trading on the total call/put ratio exhibits significantly higher returns than the returns of the buy-hold strategy by 18bp on average per day with the corresponding t-statistic of 7.8, which supports the price discovery feature of our information variable for the KOSPI200 index. Also, the return predictability remains effective for a minute under a 1% significance level. Further, we numerically verify the existence of the local maximum point whose sensitivity maximizes the average return per trading of the indicator-following strategy. As the existence of the local maximum is consistent with the theoretical prediction, the underlying theoretical framework could be justified. Second, the return predictability extends to 2 minutes for the call/put trading value ratio on the at-the-money option, which implies that the persistence of the price discovery stems from the trading information of the at-the-money option. The argument is supported by additional empirical tests under different moneyness ranges. Moreover, the shorter the remaining maturity of the option and the greater the volatility of the stock index is, the stronger the price discovery effect becomes. Third, comparing the returns of indicator-following trading, the return predictability of the call/put trading value ratio is superior to the call/put trading volume ratio used in the existing literature. Fourth, when considering actual transaction costs, the indicator-following trading strategy does not generate excess returns, which indicates efficient and immediate information delivery between the actual option market and the stock index market. Lastly, lowering the trading multiplier of the KOSPI200 option improves only the trading performance of the trading strategy using the out-of-the-money options, and we interpret that the policy hinders the efficiency of the out-of-the-money option market. Our study contributes to the strands of literature spanning the market microstructure between the KOSPI200 option market and stock index market, the high-frequency trading, and the polic...

스톡옵션 특성이 조직태도에 미치는 영향에 관한 연구 - 옵션경과시점의 조절효과를 중심으로

차성호(Sung-Ho Cha),양동훈(Dong-Hoon Yang) 한국인사조직학회 2006 인사조직연구 Vol.14 No.3

  본 연구는 스톡옵션 특성이 조직태도에 미치는 영향과 스톡옵션의 부여에서부터 매각까지의 시점별로 스톡옵션 특성이 조직태도에 어떠한 영향을 미치는 지를 분석하였다. 본 연구는 연구가설로서 스톡옵션의 기대수익이 높을수록 수혜종업원의 조직태도가 긍정적으로 나타날 것이라 기대하였고 스톡옵션으로 인한 기대수익이 수혜종업원의 조직태도에 미치는 영향은 옵션경과시점에 따라 차이가 있을 것으로 예측하였다. 2003년 2월부터 8월까지 2차에 걸쳐 스톡옵션을 도입한 12개 기업의 수혜종업원 122명을 대상으로 설문조사를 수행하였다. 연구의 실증분석에 의하면 주식가치전망이 긍정적일수록 조직몰입이 높아지고 이직의도가 낮아지는 경향이 있었다. 그러나 스톡옵션의 수혜율이나 보상내 스톡옵션의 구성비는 이와 같이 개인의 조직태도에 유의한 영향을 미치지는 않는 것으로 나타났다. 또한 스톡옵션 경과시점의 기간별로 스톡옵션 수혜율, 보상내 구성비, 주식가치전망이 개인의 조직태도에 미치는 조절효과를 살펴본 결과 스톡옵션의 수혜율과 조직태도의 관계에 대하여 스톡옵션 경과시점의 조절효과가 있는 것으로 나타났다. 즉, 스톡옵션 수혜율이 높은 구성원일수록 조직몰입과 이직의도의 수준이 행사기간부터 매각 전까지의 단계에 있는 종업원들에게 가장 뚜렷하게 변화되는 경향이 있었다. 이는 수혜율이 높을수록 스톡옵션의 행사기간부터 매각 전까지 단계에 있는 종업원이 상대적으로 높은 조직몰입도와 상대적으로 낮은 이직의도를 갖게 됨을 시사하는 현상이다.   Many Korean companies have begun to adopt stock option plans as a way to provide long-term incentives to employees as well as to top executives. About 20% of 677 publicly traded companies adopted stock option plans in 2003. However, only 52 companies had formal provisions on stock option plans, an approximately 38.8% of companies that introduced stock option plans. Stock option plans are still experimental to publicly traded large firms, spurred by examples from small venture companies.<BR>  This study examines current practices of stock option plans in publicly traded companies to see whether stock option plans influence employees’ organizational attitudes positively. To this end, survey questionnaires were mailed out to 700 employees in 12 publicly traded companies twice, one in February and the other in August, 2003. The response rates are 22.1% and 21.6% respectively. The stock market composite indices for February and August are 500 and 750 respectively, which indicates that samples reflect different stock market conditions. Samples came from 122 individuals who were entitled to, or who have already been provided, stock options.<BR>  In the study, employees’ organizational attitudes are measured by their organizational commitment and intention to turnover. Stock option plans are assessed in several respects: the number of employee’s stock options divided by total number of stock options, ratio of stock option values to total compensation, prospective view on stock prices, and stock option progress time. The number of stock options given to individual employees varied widely from 10 to 30,000 stock options. So the number of stock options was divided by all stock options the company provided to employees. This reduces the screwed distribution of stock options over individual employees. The ratio of stock option values to total compensation shows how important stock option is as a reward. Prospective view on stock prices is a subjective measure based on 5 Likert scale. If one expects stock prices of his own company to rise very highly, he expresses his response as 5 point in Likert scale, while the other extreme is 1 point. Lastly, stock option progress time is divided into four distinctive stages: time before stock option provided, time between stock option provision and excise period, excise period, time after excising stock options. Surveyed respondents were classified into one of these four categories. We expected that organizational attitudes would differ depending on stock option progress times.<BR>  We hypothesize that characteristics of stock option plans have an effect on individual organizational attitudes. When more stock options are given to an employee, he/she will commit more to the company and have less intention to turnover. When stock options have a bigger portion in the total compensation, employees will have stronger organizational commitment and be less likely to turnover. When employees expect stock prices to rise in the future, they will also have more positive organizational attitudes. Employees’ attitudes are more positive in all these instances because they all suggest more return to stock options. That is, the number of stock options, ratio of stock options in total compensation, and future expected stock price contribute to higher expected benefits from the stock options, leading to a more positive impact on employee’s organizational attitudes.<BR>  As to stock option progress time, it is hypothesized that individual employees will commit most and least likely turnover when they are in the excise period. This is why one’s effort will result in higher stock price, and then his expected return to stock options is about to be realized in this period. In the stages other than exercise period, employees are a long way from realizing benefits from stock options because they can’t exercise their stock options. We also tested moderating e

KOSPI 200 지수 옵션 만기시 Rollover 효과에 관한 연구

김태용,조진완,이중호 한국재무관리학회 2005 財務管理硏究 Vol.22 No.1

The object of this paper is to analyze the rollover effect on KOSPI 200 Index option prices. Especially we analyze the implied volatilities of the options that became the near maturity options as the old one expired. For this analysis, a panel data of KOSPI 200 Index Option Prices from year 1999 to year 2001 were used, and following results were obtained.First, after controlling for the underlying index returns, strike prices and other pricing factors, the call option prices tend to decrease while the put option prices tend to increase during the week of expiry. Second, if one concentrates on the daily price changes, call option prices tend to go up on Thursday (as the old options expire), and then experience a price decrease on the following day, while the reverse is true for the put options.These results imply that the option prices are affected by some of the market microstructure effects such as whether the option is the near maturity option. We conjecture that the reason for this is related to the undervaluation of KOSPI 200 futures.The results from this paper have implications on the timing of option trades. If one wants to buy put options, and/or sell call options, he has better off by executing his intended trades before the old options expire. On the other hand, if one wants to buy call options, and/or sell put options, he has better off by executing his intended trades after the expiry. 본 논문은 KOSPI 200 지수옵션 시장을 대상으로 각 월별 옵션 만기시 원월물에서 근월물로 바뀌는 옵션의 이월현상 효과를 분석하였다. KOSPI 200 지수옵션 시장은 외국의 제반 옵션 시장과는 달리 거래가 근월물에만 집중되고, 근월물에 대한 거래가 근월물의 만기일에도 매우 활발하게 이루어지는 특색을 갖고 있다. 따라서 원월물에서 근월물로 이전되는 과정에서 만기이월에 따라 옵션 가격이 영향을 받는다면, 이는 학술적으로는 옵션시장의 효율성에 대하여, 실무적으로는 옵션 거래전략에 대하여 함의를 갖는다고 말할 수 있다. 본 연구는 1999년부터 2001년까지의 KOSPI 200 지수옵션의 내재변동성을 활용하여 이루어졌으며 다음과 같은 결과를 얻었다.첫째, 만기일을 포함한 주의 월요일부터 다음 월요일까지, 그리고 만기일 주간의 수요일에서 금요일까지 각 기간 동안의 콜옵션 가격은 전반적으로 하락하는 현상이 발생하였다. 둘째, 기간을 세분화하여 분석하였을 때, 콜옵션은 근월물의 만기일인 목요일에는 가격상승 현상이 나타났으나 해당옵션이 근월물이 된 금요일에는 더 큰 폭의 가격하락 현상이 나타났다. 반대로 풋옵션은 목요일에는 가격하락 현상이, 금요일에는 가격상승 현상이 나타났다.이러한 만기 이월현상은 처음으로 밝혀졌으며 그 방향성이 근월물의 만기일에는 옵션을 활용한 복제선물에의 매수포지션, 만기 익일에는 반대로 매도포지션으로 나타난 점은 KOSPI 200 지수 선물의 전반적인 저평가 현상에 대한 차익거래의 수단으로 투자자들이 옵션 시장을 활용한다는 개연성에 대한 증거가 된다.이러한 결과는 옵션의 가격이 완전시장 가정 하에서 옵션의 가격에 영향을 미친다고 간주되는 변수들뿐만 아니라 옵션의 근월물 여부에도 영향 받고 있음을 의미하며, 이는 효율적 시장가설이나 완전시장 가설에 배치된다고 할 수 있다. 또한 위와 같은 결과를 바탕으로 투자전략을 수립할 때, 시장거래자중 콜옵션을 매수하려고 하는 투자자는 만기일 이후에, 반대로 콜옵션을 매도하려고 하는 투자자는 만기가 포함된 주 초반에 하는 것이 더 효과적임을 의미한다.

미니파생상품시장의 가격발견 효과 분석 : KOSPI200 미니옵션의 사례

이우백 ( Woo-baik Lee ) 한국파생상품학회(구 한국선물학회) 2017 선물연구 Vol.25 No.4

2015년 7월에 도입된 KOSPI200 미니옵션시장은 거래 승수가 정규 옵션의 1/5로 축소된 상품으로, 2012년 3월에 승수가 인상된 옵션시장을 인상 전 기간으로 환원시킨 시장이다. 원옵션-미니옵션 연계 차익거래와 옵션-현물 연계 차익거래에 기반한 벡터오차수정모형(VECM)와 Hasbrouck(1995, 2003)의 정보량(information share)으로 추정한 기존 원옵션과 미니옵션의 가격발견 효과에 대한 주요한 실증 분석 결과는 다음과 같이 요약된다. 첫째, 원옵션과 미니옵션간 가격발견에서는 통계적으로 유의적인 수준에서 원옵션이 미니옵션을 지배적으로 주도하는 것으로 나타났다. 둘째, 미니옵션은 현물의 가격발견을 주도하지만 상대적으로 원옵션이 현물의 가격발견을 주도하는 결과는 확인하지 못했으며, 원옵션, 미니옵션, 현물간 상호작용을 동시에 고려하여 정보량을 추정한 결과에서도 미니옵션이 현물을 선도하는 경향이 원옵션보다 강한 것으로 나타났다. 또한 원옵션과 미니옵션은 현물의 가격발견과정에서 동조적 행태가 아니라 상반되는 행태를 보여, 투자전략 측면에서 대안적인 파생상품으로 활용되는 것으로 해석된다. 본 연구의 표본기간이 미니파생상품시장의 개설 초기임을 고려할 때, 미니옵션 시장의 거래활동 규모는 정규옵션시장보다 낮음에도 불구하고 가격발견의 질적 수준 자체는 효율적임을 제시한다. The KOSPI200 mini options market, introduced in July 2015, is a market where the trading multiplier is reduced to one-fifth of the regular options. This study shows that the price discovery effect of the original options and the mini options estimated by the vector error correction model (VECM) and Hasbrouck's information share (1995, 2003), based on the regular options-mini options arbitrage and the options-spot arbitrage. The results of the empirical analysis are summarized as follows. First, in the price discovery between the regular options and the mini options, regular options dominate mini options at a statistically significant level. Second, mini options tend to lead the spot, which is stronger than the regular options. Therefore, the regular options and the mini options show asymmetrical behavior in the price discovery process of the spot, opposite to each other and are interpreted as alternative derivatives in terms of investment strategy. Considering the immaturity of mini options market established during the sample period, the price discovery is efficient even though the trading activity in the mini options is lower than that of the regular options.