基于业绩条件的股票支付的理论价格及其对现行会计准则的启示

M. Fujimoto
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引用次数: 0

摘要

尽管基于业绩条件的股票支付(以下简称SPPC)的增长在今天很突出,但SPPC的理论价格尚未得到充分研究。反映这种情况的是,2004年发布的现行股票支付会计准则存在许多问题。本文建立了一个理论SPPC价格模型,该模型采用基于边际效用的价格框架,前人的研究认为这是不完全市场中或有债权的价格。这篇论文的贡献是五倍的。首先,我们将随机过程限制在某一类,以证明如何持续改变影响SPPC收益的所有变量的概率分布。其次,我们明确指出了概率变化下股票价格过程和业绩变量的随机过程,以及业绩变量漂移系数的变化与股票贝塔的关系。第三,我们提出了一种仅使用少量参数的实用模型。第四,提出了一种参数估计方法,改进了价格和参数的估计。第五,我们阐述了现行会计准则存在的问题,并指出了理论价格模型如何能够显著改善这些问题。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The Theoretical Price of a Share-Based Payment With Performance Conditions and Implications for the Current Accounting Standards
Although the growth of share-based payments with performance conditions (hereafter, SPPC) is prominent today, the theoretical price of SPPC has not been sufficiently studied. Reflecting such a situation, the current accounting standards for share-based payments issued in 2004 have had many problems. This paper develops a theoretical SPPC price model with a framework for a marginal utility-based price, which previous studies proposed is the price of contingent claims in an incomplete market. This paper's contribution is fivefold. First, we restricted the stochastic process to a certain class to demonstrate how to consistently change all variables' probability distributions, which affect the SPPC payoff. Second, we explicitly indicated not only the stochastic processes of the stock price process and performance variables under the changed probability, but also how the changes in the performance variables' drift coefficients related to stock betas. Third, we proposed a convenient model in application that uses only a few parameters. Fourth, we provided a method to estimate the parameters and improve the estimation of both the price and parameters. Fifth, we illustrated the problems in current accounting standards and indicated how the theoretical price model can significantly improve them.
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