顏汝芳/從薪酬制度讀 ceo 的行為心理學

從薪酬制度讀 CEO 的行為心理學 1台北大學統計系顏汝芳

從薪酬制度讀懂 CEO 行為心理學

國立台北大學統計學系助理教授顏汝芳


Chief Executive Officer (CEO)


CNNMoney Top 10 CEOs in 2014


What did CEOs do?


10 CEO skills documented by Linked in

Be innovative Communicate

Dare to take risk in business

Optimistic

Forward Thinking

Being a team leader Being a decision maker

Be controlled of his/her emotion

Be tech savvy Be a catalyst for culture change

CEO overconfidence


What is overconfidence?

認知心理學• 認為自己知識的準確性比事實中的程度更高的一種信念，

即對自己的信息賦予的權重大於事實上的權重。• 對未來事件有不切實際的樂觀主義。• 對概率事件的錯誤估計：買彩票 !

• 中等到極度困難的挑戰特別容易過度自信。• 男性在許多領域 ( 體育技能、領導能力、與別人相處能力 ) 中總是過高估計自己。• 外科醫生和護士、心理學家、投資銀行家、工程師、律師、和經理在判斷和決策中會存在過度自信特徵。

http://wiki.mbalib.com/zh-tw/%E4%BF%A1%E5%BF%B5


Overconfident CEOs

• 蘋果共同創辦人史提夫 · 賈伯斯 (Steve Jobs)• 臉書執行長馬克 · 祖克柏 (Mark Zuckerberg)• 特斯拉執行長伊隆馬斯克 (Elon musk)

Joel Peterson, a professor at Stanford University's Graduate School of Business, calls such people “productive narcissists.”( 產品自戀者 )

Vinod Khosla, a longtime venture capitalist, describes "unbridled confidence and arrogance" as key characteristics for successful business visionaries.

Complete context please refer to The Wall Street Journal on October 8, 2011 with title “Who will be the next Steve Jobs.”


How to measure CEO overconfidence?

利用薪酬制度當中的股票選擇權 ! (Malmendier and Tate, 2005; 2008)


• 對於歐式買權的持有者而言 , 在契約到期日當天 , 只有在有利可圖時，買權持有者才會去購買該資產

• 所以，什麼情況才能獲利呢 ?

選擇權 ?

履約到期日契約簽訂日期時間

To buy or not to buy??

＞商品價格履約價格


-20

-10

0

10

20

30

40

450 500 550 600 650

Prof

it\Los

s

Underlying at Expiration

Long Call

• ST – E > 0 時履行買權能夠獲利ST : 在契約到期日時該資產的價格E : 契約所簽訂的履約價格

最大損失 =權利金在該商品價格上漲時能夠獲利E = 550

範例 1


高階管理人員的股票選擇權• 若股價漲到某個價位，經理人可以以比市價要低的價格向公司購入股票。• 股票選擇權屬於薪資配套措施之一，需要在閉鎖期過後，透過執行才能獲得現金紅利。• 當經理人已經能以相對低廉許多的價格購入公司股票時，經理人卻不這麼執行，這表示 ?

• Malmendier and Tate (2005, 2008) 以認知心理學中的過度自信來解釋。


CEO overconfidence

Delay to exercise 100% in-the-money exercisable options twice

Exercise options less than 30% in-the-money and does not hold hold other exercisable options that are greater than 30% in the money

100%

30%

Three types of CEOs: low-, moderate-, and high-optimism


Difficulty

• Moneyness =

• However, the data we use do not have option-grant-specific exercise prices, so we need to estimate the average exercise price of the aggregated options.


Estimation of moneyness

• Realizable value per option (RV) = total realizable value of the exercisable options the number of exercisable options numerator uses ExecuComp var. OPT_UNEX_EXER_EST_VAL denominator uses OPT_UNEX_ EXER_NUM

• Average exercise price of the options (AEP)= fiscal year end stock price (PRCCF) – RV

• Moneyness = RV / AEP


Prediction on CEO overconfidence

• 投資高風險計畫 ( 研發費用高 )

• 專利申請較成功 • 認為股價被低估• 較容易做股票購回 • 不喜歡外部融資，若必須，偏向舉債 • 不喜歡發放股利• 較少操弄盈餘


CEO Overconfidence and Financial Crisis:Evidence from Bank Lending

Chia-Wei HuangYuan Ze University

Po-Hsin HoNational Taipei University

Chih-Yung LinYuan Ze University

Ju-Fang YenNational Taipei University


Data

• Includes both depository institutions (commercial banks and savings institutions) and investment banks

• Need compensation data (S&P ExecuComp database)

• Need accounting data (Compustat database)

• The final sample contains

– 1,643 bank-year observations from 1994 through 2009

– The period includes both the 1998 Russian crisis and the 2007-2009 financial crisis


Bank characteristics in noncrisis years

Assets 9.6814 10.0668 -0.3854*** Book Leverage 13.1006 13.4873 -0.3867 ROA (percent) 1.5668 1.2797 0.2871*** LOANDEP 0.9246 0.8876 0.0370** Tier 1 (percent) 9.5903 9.7908 -0.2005

Variable OC banks Rational banks Difference


Before a crisis happened…

Banks with overconfident CEOs are more likely to • Lend more, particularly for real estate loans


Before a crisis happened…(cont.)

• Lend more on high-risk (low-quality) borrowers


Consequences of the Financial Crisis

1. Reduction in operating performance

2. Increase in expected default probability (EDF)

3. Greater chance of bank failure

4. Increase in likelihood of CEO turnover

Overconfidence can lead a risk-averse bank CEO to take exposures perceived to be the most profitable for current shareholders ex ante but that could harm their banks and

themselves ex post.


資料限制• 經理人必須要有股票選擇權• 需要有完整的股票選擇權資訊


Thank you for your listening!

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顏汝芳/從薪酬制度讀 ceo 的行為心理學

Data & Analytics