第一百四十九期财务与会计学术论坛

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题目: Does the Accounting Hedge Ineffectiveness Measure under SFAS 133 Capture the Economic Ineffectiveness of a Firm’s Hedging Activities? 演讲者:Hong Xie,Associate Professor of Accounting, University of Kentucky 时间: 2011年7月13日(星期三)9:00—10:30AM 地点: 嘉庚二501 参加者: 对会计研究有兴趣的广大师生 主持人: 曲晓辉老师 论文简介: A key criterion for applying hedge accounting under SFAS 133 is the demonstration of hedge effectiveness. Retrospective assessment of hedge effectiveness may reveal hedge ineffectiveness - the extent to which a gain (loss) on the hedgng derivative is not offset by a corresponding loss (gain) on the hedged item. SFAS 133 requires that this accounting measure of hedge ineffectiveness be reported in current period earnings. This paper examines whether the SFAS 133-mandated accounting measure of hedge ineffectiveness captures the economic ineffectiveness of a firm’s hedging activities.We find that, among hedge accounting users, firms reporting large hedge ineffectiveness gains/losses have (1) greater risk exposure to changes in interest rates and commodity prices, (2) higher forward-looking, market-implied default risk, and (3) higher implied cost of equity capital than those reporting small hedge ineffectiveness gains/losses. Our findings suggest that the accounting hedge ineffectiveness measure mandated by SFAS 133 is informative about the effectiveness of a firm’s risk management activities and thus is useful to financial statement users for assessing the firm’s underlying risk and the effectiveness of its risk management activities. Our findings also imply that standard setters should continue to require the disclosure of hedge ineffectiveness gains/losses. 讲座人简介: Prof.Xie, Hong got his B.Sc, MBA and Ph.D from Shanghai Jiaotong University, University of British Columbia,and University of Iowa respectively.