Several papers use measures of delta (pay-performance sensitivity), vega (risktaking incentives), and firm-specific wealth (inside equity) for executives on Execucomp. For example,

1.  Core, J., Guay, W., 2002. Estimate the value of employee stock option portfolios and their sensitivities to price and volatility. Journal of Accounting Research 40, 613-630.

  • develops a method to calculate delta and vega using information provided by Execucomp in the pre-2006 period

2.  Coles, J., Daniel, N., Naveen, L., 2006. Managerial incentives and risk-taking. Journal of Financial Economics 79, 431-468.

  • estimates delta and vega

3.  Daniel, N., Li, Y., and Naveen, L. 2013. No asymmetry in pay for luck. Working Paper.

  • calculates a measure of firm-specific wealth using executives’ stock and option portfolios

Naveen makes publicly available her SAS program used to calculate delta, vega, and firm-specific wealth. See her homepage here. However,

  • Her program is not self-executable because she uses three external datasets for which she does not provide SAS codes used to create them.
  • Her program is to be executed locally so not portable (does not support PC SAS or SSH connection).
  • Her program calculates these measures only up to fiscal year 2010.

I improve Naveen’s program to make it self-contained and executable on its own. Specifically, I recreate the three datasets within the new program and update dataset references to point to the sever end. Now you can run the program via PC SAS or SSH connection, and specify the start year and end year of the period of interest. So you can easily update the data up to the most recent date.

I write a little more details in the overview section in the new program. As evidenced in the overview, I believe that I successfully replicate Naveen’s data using the new program. However, if you decide to use the new program, the accuracy of the generated data is your own responsibility.

Lastly, please cite Naveen’s work if you use the new program. I would be appreciated if you are generous enough to acknowledge my work.

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