The value of corporate voting rights embedded in option prices

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2013
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Journal of Corporate Finance. 2013, 22, pp. 16-34. ISSN 0929-1199. Available under: doi: 10.1016/j.jcorpfin.2013.03.004
Zusammenfassung

This paper proposes and tests a new method to extract the value of corporate voting rights from market prices of American-style single-stock options. The method models voting-right values as non-cash dividends and backs them out via numerical optimization from prices of equity options. Simulation experiments show that the method is accurate and outperforms existing option-based approaches by reducing their measurement error from 17.2% to 1.57% in terms of root mean squared errors and almost eliminates their bias.



The paper also contributes an empirical analysis of corporate voting-right values in European companies in the time period between 2003 and 2010. Voting rights have an annualized average value of 0.37% of the share price and are significantly worth more in months in which either ordinary or extraordinary general meetings take place but no single shareholder holds a majority stake in the company. Finally, voting values are higher in companies incorporated in French-civil-law countries (France and the Netherlands) than in German-civil-law countries (Germany and Switzerland).

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ISO 690KIND, Axel, Marco POLTERA, 2013. The value of corporate voting rights embedded in option prices. In: Journal of Corporate Finance. 2013, 22, pp. 16-34. ISSN 0929-1199. Available under: doi: 10.1016/j.jcorpfin.2013.03.004
BibTex
@article{Kind2013value-25546,
  year={2013},
  doi={10.1016/j.jcorpfin.2013.03.004},
  title={The value of corporate voting rights embedded in option prices},
  volume={22},
  issn={0929-1199},
  journal={Journal of Corporate Finance},
  pages={16--34},
  author={Kind, Axel and Poltera, Marco}
}
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