The Volatility and Price Sensitivities of Managerial Stock Option Portfolios and Corporate Hedging

By John D. Knopf, Jouahn Nam, John H. Thornton. 2002

414 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/465daafea6aa096c6d222afee0ba6314f2d54f8c

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Citations in the corpus

CEO Compensation and Corporate Risk: Evidence from a Natural Experiment (2013, neutral): “…options and firm risk include DeFusco et al. (1990), Saunders et al. (1990), Mehran (1992, 1995), May (1995), Tufano (1996), Berger et al. (1997), Denis et al. (1997), Esty (1997a, 1997b), Jolls (1998), Schrand and Unal (1998), Aggarwal and Samwick (1999), Guay (1999), and Knopf et al. (2002).”
Too Good to be True: Board Structural Independence as a Moderator of CEO Pay-for-Firm-Performance (2011, positive): “For example, extant research evidence, particularly that informed by Managerial Power Theory, shows that CEOs can manipulate the terms and conditions of outcome-based incentive plans in ways that decouple their compensation from firm performance (Bebchuk and Fried, 2004; Bettis et al., 2005; Burns a”
CORPORATE HEDGING AND SHAREHOLDER VALUE (2010, methodology): “Studies examining the sensitivity of the CEO portfolio towards changes in volatility find the theorized association in all but one case at conventional significance levels (Graham and Rogers, 2002; Knopf et al., 2002; Rajgopal and Shevlin, 2002; Rogers, 2002).”
Executive stock options, gender diversity in the top management team, and firm risk taking (2015, result): “01 increase in the stock return volatility results in an average increase in CEO wealth of $149,200, $180,440 and $182,250 under the CWZ model and $219,240 under the BS model, which is consistent with previous studies (Hayes, Lemmon, & Qiu, 2012; Knopf et al., 2002).”
Managerial Incentives and Risk-taking (2006, neutral): “18 One possibility is that vega reduces the managerial incentive to hedge firm risk (Tufano, 1996; Knopf et al., 2002).”
How Much Do Firms Hedge with Derivatives (2003, neutral): “Finally, our findings question the assumptions underlying studies that examine the relation between managerial risk aversion and derivatives use in broad samples of firms (e.g., Geczy, Minton, and Schrand, 1997, Knopf, Nam, and Thornton, 2002, and Graham and Rogers, 2002).”
Investment, Idiosyncratic Risk, and Ownership (2011, neutral): “We address the first concern by considering two alternative measures of growth opportunities: the first is constructed from analyst forecasts based on Bond and Cummins (2004), and the second is constructed from stock return correlations based on Kogan and Papanikolaou (2009).”