^true enough, so it's basically free money. I have clients who work for companies and get grants or options in companies that are not good investments, or companies that they definitely wouldn't invest in. In those cases they sell the shares and put the money elsewhere. It's still free money no matter how you look at it. If the shares are in a registered account then there are no tax implications to consider (and there maybe ways to make this the case depending on your situation anyway). At that point the question is really a pure investment decision: would you rather be invested in the company yo work for or are there better opportunities out there?
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