Čipe o á, Lenka
A icle
The impac o hedge accoun ing on a i m ma ke alue
Eu opean Financial and Accoun ing Jou nal
P o ided in Coope a ion wi h:
Facul y o Finance and Accoun ing, P ague Uni e si y o Economics and Business
Sugges ed Ci a ion: Čipe o á, Lenka (2024) : The impac o hedge accoun ing on a i m ma ke alue,
Eu opean Financial and Accoun ing Jou nal, ISSN 1805-4846, P ague Uni e si y o Economics and
Business, Facul y o Finance and Accoun ing, P ague, Vol. 19, Iss. 1, pp. 21-37,
h ps://doi.o g/10.18267/j.e aj.284
This Ve sion is a ailable a :
h ps://hdl.handle.ne /10419/315554
S anda d-Nu zungsbedingungen:
Die Dokumen e au EconS o dü en zu eigenen wissenscha lichen
Zwecken und zum P i a geb auch gespeiche und kopie we den.
Sie dü en die Dokumen e nich ü ö en liche ode komme zielle
Zwecke e iel äl igen, ö en lich auss ellen, ö en lich zugänglich
machen, e eiben ode ande wei ig nu zen.
So e n die Ve asse die Dokumen e un e Open-Con en -Lizenzen
(insbesonde e CC-Lizenzen) zu Ve ügung ges ell haben soll en,
gel en abweichend on diesen Nu zungsbedingungen die in de do
genann en Lizenz gewäh en Nu zungs ech e.
Te ms o use:
Documen s in EconS o may be sa ed and copied o you pe sonal
and schola ly pu poses.
You a e no o copy documen s o public o comme cial pu poses, o
exhibi he documen s publicly, o make hem publicly a ailable on he
in e ne , o o dis ibu e o o he wise use he documen s in public.
I he documen s ha e been made a ailable unde an Open Con en
Licence (especially C ea i e Commons Licences), you may exe cise
u he usage igh s as speci ied in he indica ed licence.
h ps://c ea i ecommons.o g/licenses/by/4.0/
21
The Impac o Hedge Accoun ing on a Fi m
Ma ke Value
Lenka Čipe o á*
Abs ac :
In 2018, he In e na ional Accoun ing S anda ds Boa d (IASB) in oduced
In e na ional Financial Repo ing S anda d 9 (IFRS 9), which se s ou p inciples o
hedge accoun ing and eplaces In e na ional Accoun ing S anda d 39 (IAS 39).
IFRS 9 aims o p o ide be e in o ma ion abou companies’ isk managemen
policies by simpli ying epo ing equi emen s and imp o ing isk disclosu es
compa ed o IAS 39. The objec i e o hedge accoun ing is o acili a e in es o s’
unde s anding o companies’ isk managemen s a egies and p o ide in o ma ion on
he e ec i eness o hedging. In his s udy, we a emp o de e mine how hedge
accoun ing ul ils he IASB’s objec i e and whe he be e isk managemen
in o ma ion ansla es in o alue a ibu ed by in es o s. In he empi ical pa o his
s udy, a i m alua ion amewo k is used o analyse he impac o hedge accoun ing
on he ma ke alue o a sample o Polish companies lis ed on he Wa saw S ock
Exchange. The esul s show he posi i e e ec o using hedge accoun ing, sugges ing
ha in o ma ion abou isk managemen s a egies can posi i ely a ec in es o s’
alua ion o he i m. The esul s also show ha he simpli ied epo ing equi emen s
unde IFRS 9 mo i a ed companies ha used hedge accoun ing o swi ch o he new
accoun ing s anda d bu , con a y o expec a ions, did no mo i a e new companies
o adop hedge accoun ing.
Keywo ds: Fi m Ma ke Value; Hedge Accoun ing; IFRS 9; Risk Managemen .
JEL classi ica ion: M41; M48.
1 In oduc ion
In 2001, IASB adop ed IAS 39 Financial Ins umen s: Recogni ion and
Measu emen , a s anda d o iginally issued in 1999 by he In e na ional Accoun ing
S anda ds Commi ee (IASC), which includes egula ion o hedge accoun ing.
IAS 39 se s ou he condi ions unde which hedge accoun ing is pe mi ed and he
p ocedu es and equi emen s o hedge accoun ing. Hedge accoun ing is an op ional
accoun ing policy. When implemen ed i should be e align inancial accoun ing
esul s wi h he unde lying economic s a egy o a company and i should inc ease
* Lenka Čipe o á; P ague Uni e si y o Economics and Business, Facul y o Finance and
Accoun ing, Depa men o Financial Accoun ing and Audi ing, Wins on Chu chill Squa e 1938/4,
130 67 P ague, Czech Republic, <[email p o ec ed]>, ORCID iD: 0009-0004-1778-0506.
The a icle is p ocessed as an ou pu o a esea ch p ojec The Impac o he Implemen a ion o
Hedge Accoun ing Unde IFRS 9 on he Fi m Ma ke Value egis e ed by he In e nal G an Agency
o P ague Uni e si y o Economics and Business unde he egis a ion numbe F1/3/2022.
Čipe o á, L.: The Impac o Hedge Accoun ing on a Fi m Ma ke Value.
22
he anspa ency o a company’s isk managemen ac i i ies. The eco d-keeping
equi emen s o IAS 39 o assessing hedging e ec i eness, howe e , we e
some imes conside ed oo demanding by companies and discou aged hem om
applying hedge accoun ing e en i hey used inancial ins umen s o mi iga e hei
isk exposu es (Glaum and Klöcke , 2011; Wal on, 2004). Nei he did he
disclosu es on hedge accoun ing p o ide ex e nal use s o accoun ing in o ma ion
wi h su icien explana ion o isk exposu es, isk managemen s a egies o he
e ec i eness o isk managemen s a egies (F es ad and Beisland, 2015). The
In e na ional Accoun ing S anda ds Boa d (IASB) lis ened o commen s om
companies, audi o s, and o he s akeholde s and de eloped a mo e p inciple-based
app oach o hedge accoun ing in IFRS 9. I has simpli ied documen a ion
equi emen s, inc eased he eligibili y o hedged i ems, and imp o ed disclosu e
equi emen s o be e in o m ex e nal use s o accoun ing in o ma ion abou
companies’ isk managemen ac i i ies.
I , in line wi h he IASB’s in en ion, hedge accoun ing should p o ide in es o s wi h
a be e unde s anding o companies’ isks and enhance comp ehension o he
e ec i eness o he hedging ins umen s used, i could ha e an impac on he
ma ke -assigned isk p emium (Wang and Maka , 2019). The empi ical hedge
accoun ing esea ch was p ima ily ocused on US companies egula ed unde
S a emen o Financial Accoun ing S anda d no. 133 (SFAS 133) o Financial
Accoun ing S anda d no. 161 (FAS 161) issued by he Financial Accoun ing
S anda d Boa d (FASB) (Pie ce, 2020; Ranasinghe e al., 2022; Wang and Maka ,
2019). This s udy seeks o ex end he exis ing li e a u e on hedge accoun ing by
empi ically examining he impac o IASB egula ions. Mo eo e , i is one o he
i s empi ical s udies o ocus on he e ec s o hedge accoun ing unde he new
s anda d IFRS 9.
The emainde o he a icle is o ganised as ollows: i s , majo hedging heo ies
a e e iewed and hedge accoun ing policies unde IFRS and hei in ended impac
on he p esen a ion o isk managemen policies in he inancial s a emen s a e
ou lined in Sec ion 2. Nex , he sou ce o da a, sample o ma ion, a iables
iden i ica ion, and model speci ica ions a e p o ided in Sec ion 3. Finally, he
esul s o he es s a e p esen ed and discussed in Sec ion 4. Sec ion 5 concludes.
2 Li e a u e e iew
2.1 Hedging heo ies and esea ch
The in luence o hedging s a egies on a i m alue has been ex ensi ely examined
since 1985 when Smi h and S ulz (1985) de eloped hei posi i e heo y o alue-
maximising hedging policies in impe ec capi al ma ke condi ions. Thei app oach
o co po a e isk managemen builds on he classical heo y o i ele ance o
Eu opean Financial and Accoun ing Jou nal, 2024, ol. 19, no. 1, pp. 21–37.
23
inancing o i m alue in pe ec capi al ma ke condi ions (Modigliani and Mille ,
1958). The alue maximiza ion app oach, also e e ed o as he inancial economic
heo y (Klimczak, 2008) iden i ies easons o hedging ha include highe deb
capaci y, lowe bank up cy cos s, lowe in o ma ion asymme y (DeMa zo and
Du ie, 1995) and secu ing in e nal inancing (F oo e al., 1993), which should
inc ease i m alue.
Empi ical es s o he impac o hedging we e conduc ed o p o ide e idence o he
heo y o alue maximiza ion. The conclusions o s udies on he impac o isk
managemen s a egies on en e p ise alue yield mixed esul s. G aham and Roge s
(2002), Ba am e al. (2011), and Gilje and Tailla d (2017) show a posi i e ela ion
be ween hedging and he i m le e age and i m alue espec i ely. Allayannis and
Wes on (2001) ound a posi i e ela ion be ween hedging and i m alue, he
hedging p emium was s a is ically and economically signi ican o i ms wi h
exposu e o exchange a es. Judge (2006) ound e idence linking he expec ed cos s
o bank up cy and he decision o hedge. Bodna e al. (1995) su eyed 530 non-
inancial i ms in he Uni ed S a es and concluded ha in mos cases minimising
cash low luc ua ions was he p edominan eason o using de i a i es as opposed
o using de i a i es o managemen o accoun ing ea nings. Simila ly, Guay (1999)
and Guay and Ko ha i (2003) ound only a limi ed impac o hedging on
a company’s ea nings.
Agency heo y b ings in o he isk managemen esea ch a manage ial pe spec i e
on he mo i a ions o hedging (Klimczak, 2008). Any misalignmen o isk
managemen objec i es be ween manage s and sha eholde s is limi ed by he
p esence o es ablished hedging policies. In he empi ical esea ch, we ind only
limi ed suppo o he agency heo y (e.g., Tu ano, 1996). The de e minan s o
hedging we e es ed in a mo e ecen s udy (Klimczak, 2008) and no suppo was
iden i ied o he a gumen ha i ms hedge o dec ease sha eholde s’ isk.
This s udy aims o ex end he exis ing isk managemen li e a u e by examining he
e ec o hedge accoun ing on i m alue. As al eady men ioned, he e alua ion o
he main heo ies o co po a e hedging ( alue maximiza ion heo y and agency
heo y) shows mixed empi ical alida ion. We in end o es he alidi y o alue-
maximising hedging heo y in he case o hedge accoun ing.
The IASB is cu en ly examining he e ec i eness o IFRS 9 and hedge accoun ing.
I in i es companies and use s o inancial in o ma ion o commen on whe he he
s anda d has me i s objec i e o p o iding use s wi h be e in o ma ion abou
companies’ isk managemen ac i i ies. In ou s udy, we examine he impac o
hedge accoun ing o he pe iod om 2016 o 2019, wo yea s be o e and a e he
in oduc ion o IFRS 9, o es whe he he mo e lexible equi emen s o IFRS 9
compa ed o IAS 39 had any e ec on he alue a ibu ed by in es o s.
Čipe o á, L.: The Impac o Hedge Accoun ing on a Fi m Ma ke Value.
24
2.2 Hedge accoun ing
IAS 39 and IFRS 9 classi y inancial asse s and inancial liabili ies based on hei
measu emen (a ai alue o amo ised cos ) and based on whe he he changes o
ca ying alue (gains and losses) a e epo ed in p o i o loss (P&L) o he o he
comp ehensi e income (OCI). IFRS 9 emphasises he classi ica ion and
measu emen o inancial asse s a ai alue, wi h changes in ai alue ecognised
in P&L unless s ic c i e ia o classi ica ion and measu emen o he asse a ei he
amo ised cos o ai alue h ough OCI a e me .
Hedge accoun ing is an op ional accoun ing policy unde bo h IAS 39 and IFRS 9.
The objec i e o hedge accoun ing is o e lec he esul s o hedging ac i i ies by
ecognising he e ec s o he hedging ins umen s (de i a i es) and he hedged isk
in P&L o OCI in he same accoun ing pe iod. Hedge accoun ing educes he
ola ili y in P&L (o OCI) ha a ises when he wo i ems (hedging and hedged) a e
accoun ed o sepa a ely, i.e., wi hou he applica ion o hedge accoun ing.
I a hedging ins umen is measu ed a ai alue wi h gains and losses ecognised
in p o i o loss while he hedged i em is measu ed a amo ised cos , o i changes
in he ca ying amoun o he hedged i em a e ecognised in OCI, he e will be an
imbalance in ecogni ion o gains and losses on bo h i ems. When hedging and
hedged i ems mee quali ying c i e ia o hedge accoun ing hei gains and losses
can be ecognised and o se in P&L (o OCI) in he same accoun ing pe iod and he
ola ili y in p o i o loss om he hedging and hedged i ems gains o losses will be
educed o elimina ed.
Bo h IAS 39 and IFRS 9 de ine h ee ypes o hedging ela ionships in hedge
accoun ing: ai alue hedge (hedging exposu e o changes in ai alue ha could
a ec p o i o loss), cash low hedge (hedging exposu e o ola ili y o cash lows)
and hedge o ne in es men in o eign ope a ions. In he case o a ai alue hedge,
he hedged i em (asse o liabili y) is adjus ed o changes in ai alue ha a e
a ibu able o he hedged isk and he ai alue changes a e ecognised in p o i o
loss oge he wi h he changes in ai alue o he hedging ins umen which is
measu ed a ai alue. Fo he cash low hedge, i he hedge is e ec i e, changes in
he ai alue o he hedging ins umen a e ini ially ecognised in equi y and hey
a e eclassi ied o he P&L in he same pe iod when he hedged ansac ion a ec s
p o i o loss (Glaum and Klöcke , 2011). The ine ec i e po ion o he hedge is
ecognised in p o i o loss.
Simila ly, in he case o hedging o ne in es men in a o eign ope a ion, he
e ec i e pa o hedging is ecognised in equi y and he ine ec i e pa in p o i o
loss. Gain o loss om e alua ion o he hedged i em ha is accumula ed in equi y
is eclassi ied o p o i o loss on he disposal o pa ial disposal o he o eign
ope a ion.
Eu opean Financial and Accoun ing Jou nal, 2024, ol. 19, no. 1, pp. 21–37.
25
The di e ences in hedge accoun ing be ween IAS 39 and IFRS 9 lie in he
quali ying c i e ia and epo ing equi emen s mainly. IFRS 9 has emo ed IAS 39’s
s ic equi emen s o e ospec i e es ing o hedge e ec i eness and ocuses on
p ospec i e assessmen o hedge e ec i eness based on mo e lexible p inciples and
allows mo e hedging ela ionships o be included in hedge accoun ing (Mülle ,
2020).
Fi ms ha e a choice o accoun o inancial ins umen s used o he managemen
o isk exposu e as hedging ins umen s and apply hedge accoun ing acco ding o
IFRS 9 o hey can decide o con inue o apply hedge accoun ing in line wi h IAS 39
o hey can apply IAS 39 o a po olio ai alue hedging o he in e es a e
exposu e and IFRS 9 o o he hedging ins umen s. A hedge accoun ing policy is a
olun a y choice o he company’s managemen . They decide which o m o isk
managemen policy will be applied and how i will be p esen ed in he inancial
s a emen s.
Acco ding o IFRS 9, “The objec i e o hedge accoun ing is o ep esen , in he
inancial s a emen s, he e ec o an en i y’s isk managemen ac i i ies ha use
inancial ins umen s o manage exposu es a ising om pa icula isks ha could
a ec p o i o loss (o o he comp ehensi e income…)” (IFRS 9.6.1.1). Companies
ha elec o apply hedge accoun ing ollowing IFRS 9 mus mee he c i e ia o
hedge accoun ing o he IFRS s anda d. The c i e ia a e eligibili y o hedging and
hedged i ems, o mal documen a ion o he hedging ela ionship a i s incep ion and
he e ec i eness o he hedging ela ionship.
I a i m elec s no o apply hedge accoun ing o when i s hedging ins umen s do
no quali y o hedge accoun ing equi emen s, i will accoun o inancial
ins umen s used o managing isk exposu e as ading inancial ins umen s wi h
ai alue changes ecognised in p o i o loss. Cos s o implemen a ion o hedge
accoun ing and main enance o hedging documen a ion play an impo an ole when
i ms decide whe he o apply hedge accoun ing o no . The in oduc ion o IFRS 9
b ough a pa ial simpli ica ion in he equi ed hedging documen a ion which could
mo i a e i ms o adop hedge accoun ing policy. We he e o e expec ha i ms
will adop he hedge accoun ing in line wi h IFRS 9 and o mula e he ollowing
hypo hesis:
H1: The in oduc ion o IFRS 9 will mo i a e companies o adop hedge
accoun ing.
A e iew o hedging li e a u e p o ides e idence o bo h he posi i e and nega i e
e ec s o hedge accoun ing. Wang and Maka (2019) epo ha SFAS 133 cash
low hedge accoun ing p o ides isk- ele an in o ma ion o in es o s. Mülle
(2020) examined he consequences o cash low hedge accoun ing on po olio
ea nings and concluded ha IAS 39 hedge accoun ing egula ion may lead o highe
Čipe o á, L.: The Impac o Hedge Accoun ing on a Fi m Ma ke Value.
26
ola ili y o po olio ea nings whe eas IFRS 9 hedge accoun ing leads o less
ola ili y in po olio ea nings. DeMa zo and Du ie (1995) s udied he US
Gene ally Accep ed Accoun ing P inciples (US GAAP) issued by FASB and a gued
ha while inancial hedging imp o es in o ma ion abou epo ed co po a e
ea nings, he choice o hedge accoun ing can also lead o subop imal hedging
s a egies i manage s’ and sha eholde s’ iews o disclosu e equi emen s di e .
Chen e al. (2013) s udied he e ec s o hedge accoun ing on manage ial hedging
s a egies. They conduc ed expe imen s o e alua e how ai alue hedge accoun ing
unde SFAS 133 a ec s manage ial economic decisions. They ound ha when he
p ice ola ili y o he hedged i em is highe , ai alue hedging leads o subop imal
manage ial hedging decisions (e.g., o egoing economically bene icial hedging
oppo uni ies). Melumad e al. (1999), also in es iga ed hedge accoun ing unde
SFAS 133 and a gued ha he a i ude o long- e m and sho - e m sha eholde s o
isk managemen s a egies di e . Long- e m sha eholde s p e e ai alue hedge
accoun ing o no hedge accoun ing, while he p e e ence o sho - e m sha eholde s
will depend on hei a i ude owa ds isk, so hedge accoun ing will no necessa ily
lead o highe ma ke alue. They also concluded ha he accoun ing me hod used
will ha e an impac on manage ial hedging decisions and consequen ly on weal h
e ec s o sha eholde s. F es ad (2018) de eloped a model ha shows ha non-
inancial i ms will op imise hei hedging s a egy and hedge accoun ing choices o
achie e p edic able p o i s unde bo h SFAS 133 and IAS 39 s anda ds. Simila
indings we e desc ibed o IFRS hedge accoun ing by Pana e ou e al. (2013), who
ound ha ea nings a e mo e p edic able unde hedge accoun ing. Pi chegge (2006)
analysed i ms’ incen i es o hedging and hedge accoun ing unde bo h US GAAP
and IAS/IFRS and concluded ha sha eholde s p e e hedging o no hedging, while
hedge accoun ing is p e e ed only in pe iods wi h inc eased di e ences in isk
exposu es. In summa y, p e ious empi ical esea ch has shown only modes e ec s
o hedge accoun ing, which may be due o he demanding equi emen s and
quali ica ion c i e ia o hedge accoun ing.
We build on p e ious esea ch on isk managemen heo y and he alue ele ance
o hedge accoun ing and examine whe he he adop ion o hedge accoun ing has
a signi ican impac on he alue a ibu ed by in es o s. The p io empi ical
esea ch was mainly conduc ed in US GAAP. Al hough no ce ain, we hypo hesise
ha IAS/IFRS hedge accoun ing could imp o e in es o s’ unde s anding o isk
managemen ac i i ies and we o mula e he ollowing hypo hesis:
H2: The use o hedge accoun ing inc eases he alue ele ance o accoun ing
in o ma ion o in es o s.
Eu opean Financial and Accoun ing Jou nal, 2024, ol. 19, no. 1, pp. 21–37.
27
3 Da a and Me hodology
The sample consis s o da a on he TOP 100 (by ma ke capi aliza ion) companies
whose sha es we e publicly aded on he Wa saw S ock Exchange o e ou yea s
om 2016 o 2019. Ma ke da a and da a om annual epo s we e used o he
analysis. The Wa saw S ock Exchange has been selec ed because i is he la ges
capi al ma ke in Cen al and Eas e n Eu ope. Hedging da a we e hand-collec ed
om annual epo s. Fi m-le el inancial da a we e sou ced om he Amadeus
da abase. In line wi h he p e ious li e a u e on hedging (Ba am e al., 2011;
G aham and Roge s, 2002; Geczy e al., 1997) inancial i ms we e excluded om
he sample. A e excluding 14 inancial i ms and 14 i ms o which inancial
s a emen s we e no a ailable, he sample consis s o panel da a wi h 284
obse a ions
In he empi ical es s, he s udy is inspi ed by Fel ham and Ohlson (1995) and
Ohlson (1995) models which inco po a e accoun ing in o ma ion in he equi y
alua ion. The model o Fel ham and Ohlson (1995) includes he ma ke alue o
equi y as he dependen a iable and he book alue o equi y, ope a ing asse s,
ope a ing ea nings and o he in o ma ion as independen a iables. In his s udy
hedging in o ma ion a iable is added o he model o iden i y whe he he
applica ion o hedge accoun ing has a signi ican impac on i m alue. Two dummy
a iables o hedging a e included, one o he applica ion o hedge accoun ing
acco ding o IFRS 9 and one o IAS 39. We ha e also es ed he model whe e
a dummy a iable o hedge accoun ing, in gene al, is added ins ead o he wo
hedging a iables o elimina e he possible e ec s o hedge s using he al e na i e
hedging policy om he non-hedging sample.
In he alue ele ance model in Equa ion (1), he ma ke alue o a company is a
unc ion o accoun ing a iables and o he ac o s a ec ing he i m ma ke alue.
𝑀𝑎𝑟𝑘𝑒𝑡 𝑉𝑎𝑙𝑢𝑒𝑖,𝑡 = 𝑓(𝐴𝑐𝑐𝑜𝑢𝑛𝑡𝑖𝑛𝑔 𝑖𝑛𝑓𝑜𝑟𝑚𝑎𝑡𝑖𝑜𝑛, 𝑂𝑡ℎ𝑒𝑟 𝑑𝑒𝑡𝑒𝑟𝑚𝑖𝑛𝑎𝑛𝑡𝑠)+ 𝑒𝑖,𝑡
(1)
Dependen a iable 𝑀𝑎𝑟𝑘𝑒𝑡 𝑉𝑎𝑙𝑢𝑒 ep esen s he ma ke capi alisa ion o
a company. Independen a iables ep esen ing 𝐴𝑐𝑐𝑜𝑢𝑛𝑡𝑖𝑛𝑔 𝑖𝑛𝑓𝑜𝑟𝑚𝑎𝑡𝑖𝑜𝑛 a e
a iables p esen ed in inancial s a emen s (𝐵𝑉, 𝑂𝐴, 𝑂𝐸) and 𝑂𝑡ℎ𝑒𝑟 𝑑𝑒𝑡𝑒𝑟𝑚𝑖𝑛𝑎𝑛𝑡𝑠
a e o he ac o s a ec ing he i m 𝑀𝑎𝑟𝑘𝑒𝑡 𝑣𝑎𝑙𝑢𝑒. In ou model, we include a iables
indica ing whe he he company is using hedge accoun ing o no (𝐼𝐹𝑅𝑆9, 𝐼𝐴𝑆39,
𝐻𝐴). Due o he possible co ela ion be ween book alue (𝐵𝑉) and ope a ing asse s
a iable (𝑂𝐴), we i s un he eg essions wi hou he 𝑂𝐴 a iable and hen wi h he
a iable included. We es each model o mul icollinea i y using VIF es s.
The model in Equa ion (1) is adap ed in o ou sub-models. The pu pose o he sub-
models is o e alua e he impac o hedge accoun ing when i is applied in line wi h
IFRS 9 o IAS 39 (Models (1A) and (1C)) and when i is applied in line wi h any o
Čipe o á, L.: The Impac o Hedge Accoun ing on a Fi m Ma ke Value.
28
he wo s anda ds (Model (1B) and (1D)). The dummy a iables o hedge
accoun ing (𝐼𝐹𝑅𝑆9, 𝐼𝐴𝑆39, 𝐻𝐴) a e he p ima y a iables o ou in e es . They
indica e whe he hedge accoun ing has any impac on a s ock e u n. A posi i e
coe icien o hedge accoun ing dummy a iables would indica e ha hedge
accoun ing in o ma ion disclosed in he inancial s a emen s inc eases he alue
ele ance o inancial s a emen s.
𝑀𝑉𝑖,𝑡 = 𝛼 + 𝛽1𝐵𝑉𝑖,𝑡 + 𝛽2𝑂𝐸𝑖,𝑡 + 𝛽3𝐼𝐹𝑅𝑆9𝑖,𝑡 + 𝛽4𝐼𝐴𝑆39𝑖,𝑡 + 𝑒𝑖,𝑡
(1A)
𝑀𝑉𝑖,𝑡 = 𝛼 + 𝛽1𝐵𝑉𝑖,𝑡 + 𝛽2𝑂𝐸𝑖,𝑡 + 𝛽3𝐻𝐴𝑖,𝑡 + 𝑒𝑖,𝑡
(1B)
𝑀𝑉𝑖,𝑡 = 𝛼 + 𝛽1𝐵𝑉𝑖,𝑡 + 𝛽2𝑂𝐴𝑖,𝑡 + 𝛽3𝑂𝐸𝑖,𝑡 + 𝛽4𝐼𝐹𝑅𝑆9𝑖,𝑡 + 𝛽5𝐼𝐴𝑆39𝑖,𝑡 + 𝑒𝑖,𝑡
(1C)
𝑀𝑉𝑖,𝑡 = 𝛼 + 𝛽1𝐵𝑉𝑖,𝑡 + 𝛽2𝑂𝐴𝑖,𝑡 + 𝛽3𝑂𝐸𝑖,𝑡 + 𝛽4𝐻𝐴𝑖,𝑡 + 𝑒𝑖,𝑡
(1D)
Ou sample consis s o a b oad ange o non- inancial i ms. To elimina e he e ec s
o indus y sec o s we add an indus y a iable (𝐼𝑁𝐷) o he o iginal model. In line
wi h he hedging li e a u e (Ba am e al., 2011; Gilje and Tailla d, 2017; G aham
and Roge s, 2002) we ha e also included le e age (𝐿𝐸𝑉) in he ex ended model o
con ol o he e ec o le e age on s ock e u ns. The ex ended models a e:
𝑀𝑉𝑖,𝑡 = 𝛼 + 𝛽1𝐵𝑉𝑖,𝑡 + 𝛽2𝑂𝐸𝑖,𝑡 + 𝛽3𝐼𝐹𝑅𝑆9𝑖,𝑡 + 𝛽4𝐼𝐴𝑆39𝑖,𝑡 + 𝛽4𝐼𝐴𝑆39𝑖,𝑡
+ 𝛽5𝐿𝐸𝑉𝑖,𝑡 + 𝛽6𝐼𝑁𝐷𝑖,𝑡 + 𝑒𝑖,𝑡
(2A)
𝑀𝑉𝑖,𝑡 = 𝛼 + 𝛽1𝐵𝑉𝑖,𝑡 + 𝛽2𝑂𝐸𝑖,𝑡 + 𝛽3𝐻𝐴𝑖,𝑡 + 𝛽4𝐿𝐸𝑉𝑖,𝑡 + 𝛽5𝐼𝑁𝐷𝑖,𝑡 + 𝑒𝑖,𝑡
(2B)
𝑀𝑉𝑖,𝑡 = 𝛼 + 𝛽1𝐵𝑉𝑖,𝑡 + 𝛽2𝑂𝐴𝑖,𝑡 + 𝛽3𝑂𝐸𝑖,𝑡 + 𝛽4𝐼𝐹𝑅𝑆9𝑖,𝑡 + 𝛽5𝐼𝐴𝑆39𝑖,𝑡
+ 𝛽6𝐿𝐸𝑉𝑖,𝑡 + 𝛽7𝐼𝑁𝐷𝑖,𝑡 + 𝑒𝑖,𝑡
(2C)
𝑀𝑉𝑖,𝑡 = 𝛼 + 𝛽1𝐵𝑉𝑖,𝑡 + 𝛽2𝑂𝐴𝑖,𝑡 + 𝛽3𝑂𝐸𝑖,𝑡 + 𝛽4𝐻𝐴𝑖,𝑡 + 𝛽5𝐿𝐸𝑉𝑖,𝑡
+ 𝛽6𝐼𝑁𝐷𝑖,𝑡 + 𝑒𝑖,𝑡
(2D)
A lis o all a iables included in he models wi h de ini ions is p esen ed in Tab. 1.
Ope a ing asse s in Fel ham and Ohlson (1995) a e de ined as all asse s o he han
ne inancial asse s. Ne inancial asse s ep esen he di e ence be ween
“ma ke able secu i ies” and deb (“bonds payable”). In he analysis, ope a ing asse s
a e de ined as o al asse s ne o cash and cash equi alen s and o he sho - e m
asse s. Sho - e m asse s in he Amadeus da abase con ain inancial asse s and sho -
e m p epaymen s and acc uals which should be included in he ope a ing asse s,
bu he da abase does no allow o sepa a e hese i ems. The inclusion o hese
Eu opean Financial and Accoun ing Jou nal, 2024, ol. 19, no. 1, pp. 21–37.
35
hedge accoun ing on cu ency isk o a sample o U.S. companies and ind ha he
ma ke a ibu es lowe isk p emia o companies ha use cash low hedge
accoun ing unde SFAS no. 133. A simila s udy could be ca ied ou o companies
epo ing unde IFRS.
Re e ences
Allayannis, G., Wes on, J. P., 2001. The Use o Fo eign Cu ency De i a i es and
Fi m Ma ke Value. The Re iew o Financial S udies, 14(1), 243–276.
DOI: 10.1093/ s/14.1.243.
Ba am, S. M., B own, G. W., Con ad, J. S., 2011. The E ec s o De i a i es on
Fi m Risk and Value. Jou nal o Financial and Quan i a i e Analysis, 46(4),
967–999. DOI: 10.1017/s0022109011000275.
Bodna , G. M., Hay , G. S., Ma s on, R. C., Smi hson, C. W., 1995. Wha on Su ey
o De i a i es Usage by U.S. Non-Financial Fi ms. Financial Managemen , 24(2),
104–114. DOI: 10.2307/3665538.
Chen, W., Tan, H. T., Wang, E. Y., 2013. Fai Value Accoun ing and Manage s’
Hedging Decisions. Jou nal o Accoun ing Resea ch, 51(1), 67–103.
DOI: 10.1111/j.1475-679x.2012.00468.x.
DeMa zo, P. M., Du ie, D., 1995. Co po a e Incen i es o Hedging and Hedge
Accoun ing. The Re iew o Financial S udies, 8(3), 743–771.
DOI: 10.1093/ s/8.3.743.
Fel ham, G. A., Ohlson, J. A., 1995. Valua ion and Clean Su plus Accoun ing o
Ope a ing and Financial Ac i i ies. Con empo a y Accoun ing Resea ch, 11(2),
689–731. DOI: 10.1111/j.1911-3846.1995. b00462.x.
F es ad, D., 2018. Managing ea nings isk unde SFAS 133/IAS 39: he case o cash
low hedges. Re iew o Quan i a i e Finance and Accoun ing, 51, 159–197.
DOI: 10.1007/s11156-017-0667-4.
F es ad, D., Beisland, L. A., 2015. Hedge E ec i eness Tes ing as a Sc eening
Mechanism o Hedge Accoun ing: Does I Wo k? Jou nal o Accoun ing, Audi ing
& Finance, 30(1), 35–56. DOI: 10.1177/0148558x14549457.
F oo , K. A., Scha s ein, D. S., S ein, J. C., 1993. Risk Managemen : Coo dina ing
Co po a e In es men and Financing Policies. The Jou nal o Finance, 48(5),
1629–1658. DOI: 10.2307/2329062.
Geczy, C., Min on, B. A., Sch and, C., 1997. Why Fi ms Use Cu ency De i a i es.
The Jou nal o Finance, 52(4), 1323–1354. DOI: 10.2307/2329438.
Čipe o á, L.: The Impac o Hedge Accoun ing on a Fi m Ma ke Value.
36
Gilje, E. P., Tailla d, J. P., 2017. Does Hedging A ec Fi m Value? E idence om
a Na u al Expe imen . The Re iew o Financial S udies, 30(12), 4083–4132.
DOI: 10.1093/ s/hhx069.
Glaum, M., Klöcke , A., 2011. Hedge accoun ing and i s in luence on inancial
hedging: when he ail wags he dog. Accoun ing and Business Resea ch, 41(5),
459–489. DOI: 10.1080/00014788.2011.573746.
G aham, J. R., Roge s, D. A., 2002. Do Fi ms Hedge in Response o Tax Incen i es?
The Jou nal o Finance, 57(2), 815–839. DOI: 10.1111/1540-6261.00443.
Guay, W. R., 1999. The impac o de i a i es on i m isk: An empi ical
examina ion o new de i a i e use s. Jou nal o Accoun ing and Economics,
26(1–3), 319–351. DOI: 10.1016/s0165-4101(98)00032-9.
Guay, W., Ko ha i, S. P., 2003. How much do i ms hedge wi h de i a i es? Jou nal
o Financial Economics, 70(3), 423–461. DOI: 10.1016/s0304-405x(03)00179-x.
Judge, A., 2006. Why and How UK Fi ms Hedge. Eu opean Financial Managemen ,
12(3), 407–441. DOI: 10.1111/j.1354-7798.2006.00326.x.
Klimczak, K. M., 2008. Co po a e hedging and isk managemen heo y: e idence
om Polish lis ed companies. The Jou nal o Risk Finance, 9(1), 20–39.
DOI: 10.1108/15265940810842393.
Melumad, N. D., Weyns, G., Zi , A., 1999. Compa ing Al e na i e Hedge
Accoun ing S anda ds: Sha eholde s’ Pe spec i e. Re iew o Accoun ing S udies,
4, 265–292. DOI: 10.1023/a:1009638302403.
Modigliani, F., Mille , M. H., 1958. The Cos o Capi al, Co po a ion Finance and
he Theo y o In es men . The Ame ican Economic Re iew, 48(3), 261–297.
Mülle , V., 2020. Hedge Accoun ing and i s Consequences on Po olio Ea nings –
A Simula ion S udy. Accoun ing in Eu ope, 17(2), 204–237.
DOI: 10.1080/17449480.2020.1775267.
Ohlson, J. A., 1995. Ea nings, Book Values, and Di idends in Equi y Valua ion.
Con empo a y Accoun ing Resea ch, 11(2), 661–687. DOI: 10.1111/j.1911-
3846.1995. b00461.x.
Pana e ou, A., Shackle on, M. B., Taylo , P. A., 2013. Co po a e Risk Managemen
and Hedge Accoun ing. Con empo a y Accoun ing Resea ch, 30(1), 116–139.
DOI: 10.1111/j.1911-3846.2011.01143.x.
Pie ce, S., 2020. De e minan s and Consequences o Fi ms’ De i a i e Accoun ing
Decisions. Jou nal o Financial Repo ing, 5(1), 81–114. DOI: 10.2308/j -2019-
0014.
Eu opean Financial and Accoun ing Jou nal, 2024, ol. 19, no. 1, pp. 21–37.
37
Pi chegge , B., 2006. Hedge accoun ing incen i es o cash low hedges o
o ecas ed ansac ions. Eu opean Accoun ing Re iew, 15(1), 115–135.
DOI: 10.1080/09638180500510509.
Ranasinghe, T., Si a amak ishnan, K., Yi, L., 2022. Hedging, hedge accoun ing,
and ea nings p edic abili y. Re iew o Accoun ing S udies, 27, 35–75.
DOI: 10.1007/s11142-021-09595-8.
Smi h, C. W., S ulz, R. M., 1985. The De e minan s o Fi ms’ Hedging Policies.
The Jou nal o Financial and Quan i a i e Analysis, 20(4), 391–405.
DOI: 10.2307/2330757.
Tu ano, P., 1996. Who Manages Risk? An Empi ical Examina ion o Risk
Managemen P ac ices in he Gold Mining Indus y. The Jou nal o Finance, 51(4),
1097–1137. DOI: 10.2307/2329389.
Wal on, P., 2004. IAS 39: Whe e Di e en Accoun ing Models Collide. Accoun ing
in Eu ope, 1(1), 5–16. DOI: 10.1080/0963818042000262711.
Wang, L., Maka , S., 2019. Hedge accoun ing and in es o s’ iew o FX isk.
In e na ional Jou nal o Accoun ing & In o ma ion Managemen , 27(3), 407–424.
DOI: 10.1108/ijaim-10-2017-0121.
