The Volatility and Price Sensitivities of Managerial Stock Option Portfolios and Corporate Hedging
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- 1 April 2002
- journal article
- Published by Wiley in The Journal of Finance
- Vol. 57 (2) , 801-813
- https://doi.org/10.1111/1540-6261.00442
Abstract
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 portfolios 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 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.This publication has 18 references indexed in Scilit:
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