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

Oleh:

Nam, Jouahn ; Knoff, John D. ; Thronton, John H.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 2 (2002), page 801-814.
Topik: VOLATILITY; studies; economic models; hedging; volatility; stock options; stock prices; portfolio performance
Fulltext: p 801.pdf (76.18KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.5 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We use estimates of the black - scholes sensitivity of managers' stock option portfolios to stock return volatility and the sensitivity of managers' stock and stock option portfolio to stock price to test the relationship between managers' risk preferences and hedging activities. We find that as the sensitivity of managers' stock and stock option protfolios 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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