5. 從薪酬制度讀 CEO 的行為心理學 5台北大學統計系 顏汝芳
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
6. 從薪酬制度讀 CEO 的行為心理學 6台北大學統計系 顏汝芳
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。
7. 從薪酬制度讀 CEO 的行為心理學 7台北大學統計系 顏汝芳
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.”
8. 從薪酬制度讀 CEO 的行為心理學 8台北大學統計系 顏汝芳
How to measure CEO overconfidence?
利用薪酬制度當中的股票選擇權!
(Malmendier and Tate, 2005; 2008)
9. 從薪酬制度讀 CEO 的行為心理學 9台北大學統計系 顏汝芳
• 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
10. 從薪酬制度讀 CEO 的行為心理學 10台北大學統計系 顏汝芳
-20
-10
0
10
20
30
40
450 500 550 600 650
ProfitLoss
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
12. 從薪酬制度讀 CEO 的行為心理學 12台北大學統計系 顏汝芳
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
13. 從薪酬制度讀 CEO 的行為心理學 13台北大學統計系 顏汝芳
Difficulty
• Moneyness =
𝑟𝑒𝑎𝑙𝑖𝑧𝑎𝑏𝑙𝑒 𝑣𝑎𝑙𝑢𝑒
𝑒𝑥𝑒𝑟𝑐𝑖𝑠𝑒 𝑝𝑟𝑖𝑐𝑒
• 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.
14. 從薪酬制度讀 CEO 的行為心理學 14台北大學統計系 顏汝芳
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
15. 從薪酬制度讀 CEO 的行為心理學 15台北大學統計系 顏汝芳
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
16. 從薪酬制度讀 CEO 的行為心理學 16台北大學統計系 顏汝芳
CEO Overconfidence and Financial Crisis:
Evidence from Bank Lending
Chia-Wei Huang
Yuan Ze University
Po-Hsin Ho
National Taipei University
Chih-Yung Lin
Yuan Ze University
Ju-Fang Yen
National Taipei University
17. 從薪酬制度讀 CEO 的行為心理學 17台北大學統計系 顏汝芳
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
18. 從薪酬制度讀 CEO 的行為心理學 18台北大學統計系 顏汝芳
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
19. 從薪酬制度讀 CEO 的行為心理學 19台北大學統計系 顏汝芳
Before a crisis happened…
Banks with overconfident CEOs are more likely to
• Lend more, particularly for real estate loans
20. 從薪酬制度讀 CEO 的行為心理學 20台北大學統計系 顏汝芳
Before a crisis happened…(cont.)
• Lend more on high-risk (low-quality) borrowers
21. 從薪酬制度讀 CEO 的行為心理學 21台北大學統計系 顏汝芳
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.
The title of this paper is CEO Overconfidence and Financial Crisis: Evidence from Bank Lending.
We want to examine the relationship between CEO overconfidence and financial crisis from the channel of bank lending.
The origins of financial crisis is still in a debate.
Financial crisis is triggered from complexity factors, including financial systems, economics conditions, and political policies.
The purpose of this paper is to examine the financial crisis from a different angle.
We try to provide the another explanation which contributes to financial crisis.
The way we investigated this question is from money supply-side issue that how different managerial perspective or traits would cause to more likely to relax their lending standard
and what happen later to those who relax their lending before the crisis.
The definition of overconfidence CEO. ...
Why sample only includes commercial banks and saving institutions?
Based on the previous argument, ...
Hence, based on the previous argument, we propose four consequences that overconfident banks would face after the financial crisis.
The first one is ...
The second one is ...
The third one is ...
The last one is ...
I will explain each in my later presentation