Further group regression of non-executive granting proportion, granting range and price-to-strike ratio
| Non-executive granting proportion | <70% | 70%∼80% | 80%∼90% | >90% |
| (1) | (2) | (3) | (4) | |
| Delta | 0.202 (1.12) | 0.771** (2.52) | −0.126 (−0.50) | −0.105 (−0.94) |
| Vega | −0.249 (−0.67) | −0.083 (−0.13) | 0.388 (1.11) | 0.785*** (4.06) |
| Chow-test | 6.15** | 1.79 | 0.99 | – |
| n | 299 | 131 | 257 | 246 |
| Granting range | <2.5% | 2.5%∼5% | 5%∼7.5% | >7.5% |
| (5) | (6) | (7) | (8) | |
| Delta | 0.278 (0.91) | 0.002 (0.01) | 0.092 (0.61) | 0.194 (1.39) |
| Vega | 0.674* (1.80) | −0.015 (−0.05) | −0.064 (−0.17) | −1.861*** (−2.88) |
| Chow-test | – | 1.90 | 1.96 | 11.52*** |
| n | 404 | 360 | 98 | 71 |
| Price-to-strike ratio | <0.7 | 0.7∼1 | 1∼1.3 | >1.3 |
| (9) | (10) | (11) | (12) | |
| Delta | −0.164 (−0.79) | 0.427** (2.49) | 0.159 (0.90) | −0.431*** (−4.63) |
| Vega | 2.355*** (4.74) | −0.454 (−1.32) | 0.543** (2.52) | −2.154** (−2.22) |
| Chow-test | 17.33*** | 2.74* | 7.39*** | – |
| n | 91 | 389 | 350 | 103 |
| Non-executive | <70% | 70%∼80% | 80%∼90% | >90% |
| (1) | (2) | (3) | (4) | |
| Delta | 0.202 (1.12) | 0.771 | −0.126 (−0.50) | −0.105 (−0.94) |
| Vega | −0.249 (−0.67) | −0.083 (−0.13) | 0.388 (1.11) | 0.785 |
| Chow-test | 6.15 | 1.79 | 0.99 | – |
| 299 | 131 | 257 | 246 | |
| Granting range | <2.5% | 2.5%∼5% | 5%∼7.5% | >7.5% |
| (5) | (6) | (7) | (8) | |
| Delta | 0.278 (0.91) | 0.002 (0.01) | 0.092 (0.61) | 0.194 (1.39) |
| Vega | 0.674 | −0.015 (−0.05) | −0.064 (−0.17) | −1.861 |
| Chow-test | – | 1.90 | 1.96 | 11.52 |
| 404 | 360 | 98 | 71 | |
| Price-to-strike ratio | <0.7 | 0.7∼1 | 1∼1.3 | >1.3 |
| (9) | (10) | (11) | (12) | |
| Delta | −0.164 (−0.79) | 0.427 | 0.159 (0.90) | −0.431 |
| Vega | 2.355 | −0.454 (−1.32) | 0.543 | −2.154 |
| Chow-test | 17.33 | 2.74 | 7.39 | – |
| 91 | 389 | 350 | 103 |
Notes:
*** p < 0.01, ** p < 0.05, * p < 0.1
Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.