© D.L. Crumbley
Most Firms Underreport
They fool around with the assumptions to keep fair value down.
Only about 10% are truth tellers.
Most companies are underreporting volatility.
Only 8 firms did not use Black-Scholes.
Source: L.D. Holder, W. Mayew, M.C. McAnally, and C.D. Weaver, “Employee Stock Option Valuation: How Reliable are Black-Scholes Disclosures,” working papers, March 5, 2004