Compensação de executivos: stock options: o caso particular da compensação dos altos executivos

Orientadora: Mestre Cláudia Maria Ferreira Pereira Lopes

Stock Options: impacte nas empresas cotadas em Portugal

Mestrado em Contabilidade

El show de las stock options

El presente artículo comenta las consecuencias tributarias en Derecho español del uso de stock options.

The Acceleration of Stock Options in Anticipation of FAS 123 (R)

The Financial Accounting Standards Board (FASB) mandated the expensing of stock options with FAS 123 (R). As of March 2006, 749 companies had accelerated the vesting of their employee stock options and avoided a reduction in their reported profits that otherwise would have occurred under the new standard. There are many different motives for the acceleration strategy, and the focus of this study is to determine whether shareholders viewed these motives as either positive or negative. A favorable return subsequent to an acceleration announcement would signify that shareholder's viewed management's motives as positive. An unfavorable return subsequent to an acceleration announcement would signify that shareholder's viewed management's motives as negative. The evidence from this study suggests that shareholders reacted favorably, on average, to acceleration announcements. However, these results lack statistical significance and are based on a small sample, thus, they should be interpreted with caution.

The meaning of implied volatility in pricing stock options traded in options markets

Ph.D. in the Faculty of Business Administration

Pricing the cost of an election: the impact of the 2014 elections on stock markets

Qual o efeito de eleições em ativos reais? É possível mensurar diretamente a diferença de preços mesmo que só possamos enxergar um dos resultados potenciais? Essa dissertação estima esses efeitos utilizando metodologia baseada em opções sobre ações. O modelo aqui desenvolvido adaptção tradicional Black-Scholes para incorporar dois novos parâmetros: um salto no preço do ativo perfeitamente antecipado e uma série de probabilidades diárias refletindo as crenças sobre quem venceria a corrida eleitoral. Aplicamos esse método para o caso brasileiro das Eleições Presidenciais de 2014 e a Petrobras - uma importante companhia do setor petrolífero do país -utilizando dados de bolsa do segundo turno das eleições. Os resultados encontrados mostram uma diferença de 65-77% para o valor da companhia, dependendo de quem vencesse nas urnas. Isso é equivalente a aproximadamente 2.5% do PIB de 2014 do país.

Remuneração executiva e desempenho: evidências empíricas no mercado de capitais brasileiro

O objetivo desta dissertação é analisar a relação existente entre remuneração executiva e desempenho em companhias brasileiras de capital aberto listadas na BM&FBOVESPA. A linha teórica parte do pressuposto que o contrato de incentivos corrobora com o alinhamento de interesses entre acionistas e executivos e atua como um mecanismo de governança corporativa a fim de direcionar os esforços dos executivos para maximização de valor da companhia. A amostra foi composta pelas 100 companhias mais líquidas listadas em quantidade de negociações de ações na BM&FBOVESPA durante o período 2010-2012, totalizando 296 observações. Os dados foram extraídos dos Formulários de Referência disponibilizados pela CVM e a partir dos softwares Economática® e Thomson Reuters ®. Foram estabelecidas oito hipóteses de pesquisa e estimados modelos de regressão linear múltipla com a técnica de dados em painel desbalanceado, empregando como variável dependente a remuneração total e a remuneração média individual e como regressores variáveis concernentes ao desempenho operacional, valor de mercado, tamanho, estrutura de propriedade, governança corporativa, além de variáveis de controle. Para verificar os fatores que explicam a utilização de stock options, programa de bônus e maior percentual de remuneração variável foram estimados modelos de regressão logit. Os resultados demonstram que, na amostra selecionada, existe relação positiva entre remuneração executiva e valor de mercado. Verificou-se também que os setores de mineração, química, petróleo e gás exercem influência positiva na remuneração executiva. Não obstante, exerce relação inversa com a remuneração total à concentração acionária, o controle acionário público e o fato da companhia pertencer ao nível 2 ou novo mercado conforme classificação da BMF&BOVESPA. O maior valor de mercado influencia na utilização de stock options, assim como no emprego de bônus, sendo que este também é impactado pelo maior desempenho contábil. Foram empregados também testes de robustez com estimações por efeitos aleatórios, regressões com erros-padrão robustos clusterizados, modelos dinâmicos e os resultados foram similares. Conclui-se que a remuneração executiva está relacionada com o valor corporativo gerando riqueza aos acionistas, mas que a ausência de relação com o desempenho operacional sugere falhas no sistema remuneratório que ainda depende de maior transparência e outros mecanismos de governança para alinhar os interesses entre executivos e acionistas.

The impact of SFAS 123R on CEO equity compensation

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Five-Year Denosumab Treatment of Postmenopausal Women with Osteoporosis: Results from the first two Years of the Freedom Trial Extension

Objectives : The FREEDOM trial1 open-label extension is designed to evaluate the long-term efficacy and safety of denosumab for up to 10 years. We report the results from the first 2 years of the extension, representing up to 5 years of denosumab exposure.Materials/Methods : Postmenopausal women enrolled in the extension previously completed FREEDOM. During the extension, all women receive denosumab (60 mg) every 6 months and calcium and vitamin D daily. For the FREEDOM denosumab group, the data reflect 5 years of denosumab treatment (long-term group). For the FREEDOM placebo group, the data reflect 2 years of denosumab treatment (de novo group). P-values are descriptive.Results : There were 4550 (70.2%) FREEDOM women enrolled in the extension (2343 long-term; 2207 de novo). During the 4th and 5th years of denosumab treatment, the long-term group had further 1.9% and 1.7% increases in lumbar spine BMD and further 0.7% and 0.6% increases in total hip BMD (all P<0.0001 compared with extension baseline). Total BMD increases with 5-year denosumab treatment were 13.7% (lumbar spine) and 7.0% (total hip). In the de novo group, BMD increased during the first 2 years of denosumab treatment by 7.9% (lumbar spine) and 4.1% (total hip) (all P<0.0001 compared with extension baseline). After denosumab administration, serum CTX was rapidly and maximally reduced in both groups with the characteristic attenuation observed at the end of the dosing interval, as previously reported.2 Incidences of new vertebral and nonvertebral fractures were low and below rates observed in the FREEDOM placebo group. Adverse event reports were similar for both groups: in the long-term group, 83.4% reported AEs and 18.9% were serious. In the de novo group, the percentages were 82.8% and 19.4%, respectively. In FREEDOM, the respective percentages were 92.8% and 25.8% in the denosumab group and 93.1% and 25.1% in the placebo group. Two subjects in the de novo group had AEs adjudicated to ONJ which healed without further complications ; one resolved within the 6-month dosing interval and denosumab was continued. There were no atypical femoral fractures.Conclusions : Denosumab treatment for 5 years was well-tolerated and continued to significantly reduce CTX and significantly increase BMD. Reference: 1)Cummings;NEJM;2009;361:756, 2)Eastell;JBMR;2010; doi-10.1002/jbmr.251 Disclosure of Interest: This study was funded by Amgen; S Papapoulos: Consulting fees from Amgen, Merck, Novartis, Procter & Gamble, GSK, and Wyeth; R Chapurlat: Research grants and/or consulting fees from Amgen, Merck, Novartis, sanofi-aventis, Roche, Servier, and Warner Chilcott;ML Brandi: Research grants and/or consulting fees from Amgen, Eli Lily, GSK, MSD, NPS, Nycomed, Roche, Servier, and Stroder; JP Brown: Research grants and/or consulting or speaking fees from Abott, Amgen, Bristol Myers Squibb, Eli Lilly, Pfizer, Roche, Novartis, Merck, and Warner Chilcott; E Czerwinski: Research grants from Amgen, Astrazeneca, Danone Research, Eli Lilly, Merck Sharp & Dohme, Merck Serono, Novartis, Pfizer, Roche, SantoSolve AS, and Servier; N Daizadeh, A Grauer, C Libanati: Employed by Amgen and own Amgen stocks or stock options; M-A Krieg, D Mellstrom, H Resch: None; S Radominski: Research grants from Amgen, Pfizer, Novartis, Bristol-Myers Squibb, Roche, and Aventis; Z Man: Lecture fees and/or consulting fees from Merck, Novartis, Roche, and sanofi-aventis. Novartis steering committee member; JA Roman: Research grants from Roche; J-Y Reginster: Research grants, consulting fees, and/or lecture fees from Amgen, Analis, Bristol Myers Squibb, Ebewee Pharma, Genevrier, GSK, IBSA, Lilly, Merck Sharp & Dhome, Negma, Novartis, Novo-Nordisk, Nycomed, NPS, Roche, Rottapharm, Servier, Teijin, Teva, Theramex, UCB, Wyeth, and Zodiac; C Roux: Research grants and/or consulting fees from Amgen, MSD, Novartis, Servier, and Roche; SR Cummings: Research grants and/or consulting fees from Amgen, Eli Lilly, Novartis, and Merck; HG Bone: Research grants and/or consulting or speaking fees from Amgen, Eli Lilly, Merck, Nordic Bioscience, Novartis, Takeda, and Zelos

Rapid Improvement in Health-Related Quality of Life in Gouty Arthritis Patients Treated with Canakinumab (ACZ885) Compared to Triamcinolone Acetonide

Background: Gout patients initiating urate lowering therapy have an increased risk of flares. Inflammation in gouty arthritis is induced by interleukin (IL)-1b. Canakinumab inhibits IL-1b effectively in clinical studies. This study compared different doses of canakinumab vs colchicine in preventing flares in gout patients initiating allopurinol therapy.Methods: In this 24 wk double blind study, gout patients (20-79 years) initiating allopurinol were randomized (1:1:1:1:1:1:2) to canakinumab s.c. single doses of 25, 50, 100, 200, 300 mg, or 150mg divided in doses every 4 wks (50þ50þ25þ25mg [q4wk]) or colchicine 0.5mg p.o. daily for 16 wks. Primary outcome was to determine the canakinumab dose giving comparable efficacy to colchicine with respect to number of flares occurring during first 16 wks. Secondary outcomes included number of patients with flares and C-reactive protein (CRP) levels during the first 16 wks.Results: 432 patients were randomized and 391 (91%) completed the study. All canakinumab doses were better than colchicine in preventing flares and therefore, a canakinumab dose comparable to colchicine couldn't be determined. Based on a negative binomialmodel, all canakinumab groups, except 25 mg, reduced the flare rate ratio per patient significantly compared to colchicine group (rate ratio estimates 25mg 0.60, 50mg 0.34, 100mg 0.28, 200mg 0.37, 300mg 0.29, q4wk 0.38; p_0.05). Percentage of patients with flares was lower for all canakinumab groups (25mg 27.3%, 50mg 16.7%, 100mg 14.8%, 200mg 18.5%, 300mg 15.1%, q4wk 16.7%) compared to colchicine group (44.4%). All patients taking canakinumab were significantly less likely to experience at least one gout flare than patients taking colchicine (odds ratio range [0.22 - 0.47]; p_0.05 for all). Median baseline CRP levels were 2.86 mg/L for 25 mg, 3.42 mg/L for 50 mg, 1.76 mg/L for 100 mg, 3.66 mg/L for 200 mg, 3.21 mg/L for 300 mg, 3.23 mg/L for q4wk canakinumab groups and 2.69 mg/L for colchicine group. In all canakinumab groups with median CRP levels above the normal range at baseline, median levels declined within 15 days of treatment and were maintained at normal levels (ULN¼3 mg/L) throughout the 16 wk period. Adverse events (AEs) occurred in 52.7% (25 mg), 55.6% (50 mg), 51.9% (100 mg), 51.9% (200 mg), 54.7% (300 mg), 58.5% (q4wk) of patients on canakinumab vs 53.7% of patients on colchicine. Serious AEs (SAE) were reported in 2 (3.6%; 25 mg), 2 (3.7%, 50 mg), 3 (5.6%, 100 mg), 3 (5.6%, 200 mg), 3 (5.7%, 300 mg), 1 (1.9%, q4wk) patients on canakinumab and in 5 (4.6%) patients on colchicine. 1 fatal SAE (myocardial infarction, not related to study drug) occurred in colchicine group.Conclusions: In this randomized, double-blind active controlled study of flare prevention in gout patients initiating allopurinol therapy, treatment with canakinumab led to a statistically significant reduction in flares compared with colchicine and was well tolerated.Disclosure statement: U.A., A.B., G.K., D.R. and P.S. are employees of and have stock options or bold holdings with Novartis Pharma AG. E.M. is a principal investigator for Novartis Pharmaceuticals Corporation. E.N. has received consulting fees from Roche. N.S. has received research grants from Novartis Pharmaceuticals Corporation. A.S. has received consultancy fees from Novartis Pharma AG, Abbott, Bristol-Myers Squibb, Essex, Pfizer, MSD, Roche, UCB and Wyeth. All other authors have declared no conflicts of interest.

Endogenous spillovers, increased competition and re-organization waves

We consider an entrepreneur that is the sole producer of a costreducing skill, but the entrepreneur that hires a team to usethe skill cannot prevent collusive trade for the innovation related knowledge between employees and competitors. We showthat there are two types of diffusion avoiding strategies forthe entrepreneur to preempt collusive communication i) settingup a large productive capacity (the traditional firm) and ii)keeping a small team (the lean firm). The traditional firm ischaracterized by its many "marginal" employees that work shortdays, receive flat wages and are incompletely informed about the innovation. The lean firm is small in number of employees,engages in complete information sharing among members, that are paid with stock option schemes. We find that the lean firm is superior to the traditional firm when technological entry costsare low and when the sector is immature.

On the valuation and incentive effects of executive cash bonus contracts

Executive compensation packages are often valued in an inconsistent manner: while employee stock options (ESOs) are typically valued ex-ante, cash bonuses are valued ex-post. This renders the existing valuation models of employee compensation packages theoretically unsatisfactory and, potentially, empirically distortive. In this paper, we propose an option-based framework for ex-ante valuation of cash bonus contracts. After obtaining closed-form expressions for ex-ante values of several frequently used types of bonus contracts, we utilize them to explore the e¤ects that the shape of a bonus contract has on the executive s attitude toward risk-taking. We, also, study pay-performance sensitivity of such contracts. We show that the terms of a bonus contract can dramatically impact both risk-taking behavior as well as pay-performance incentives. Several testable predictions are made, and venues of future research outlined.