Stock option grants and managerial risk taking: Evidence from Japanese intraday stock returns data


内田交謹 (九州大学大学院経済学研究院)
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大証寄附研究部門セミナーシリーズ第28回
Stock option grants and managerial risk taking: Evidence from Japanese intraday stock returns data

内田交謹 (九州大学大学院経済学研究院)

This paper investigates whether stock option grants in Japan increase stock volatility in a research environment that suffers less from two contamination problems. We conduct a short-term event study of stock volatility change by using intraday stock return data to eliminate the contamination problem that is attributable to corporate information releases made after the announcement of stock option grants. For the entire sample, we find firms that announce stock option grants experience a significant increase in realized stock return volatility during a few days surrounding the announcement day. However, we do not find a significant increase in the stock volatility when we limit the analysis to companies that release no other information at the announcement day of stock option grants. The results suggest that researchers should control for the effect of various information releases on stock return volatility when adopting stock return volatility as a measure of managerial risk taking.

講 師:
内田交謹 (九州大学大学院経済学研究院)
テーマ:
Stock option grants and managerial risk taking: Evidence from Japanese intraday stock returns data
日 時:
2011年12月05日(月)16:20-17:50
場 所:
文学部・法学部・経済学部本館 1階 多目的室
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