haku: @indexterm Stock options / yhteensä: 242
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| Tekijä: | Knopf, J.D. Nam, J. Thornton, J.H. Jr. |
| Otsikko: | The volatility and price sensitivities of managerial stock option portfolios and corporate hedging |
| Lehti: | Journal of Finance
2002 : APR, VOL. 57:2, p. 801-813 |
| Asiasana: | Stock markets Stock options Share prices Portfolio management Hedging Volatility Models USA |
| Kieli: | eng |
| Tiivistelmä: | This paper uses estimates of the Black-Scholes sensitivity of managers' stock option portfolios to stock return volatility and the sensitivity of managers' stock and stock option portfolios to stock price to test the relationship between managers' risk preferences and hedging activities. It is found that as the sensitivity of managers' stock and stock option portfolios to stock price increases, firms tend to hedge more. However, as the sensitivity of managers' stock option portfolios to stock return volatility increases, firms tend to hedge less. |
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