Real and accounting effects of mandatory derivatives disclosures

Corporate risk management;Derivatives;Hedge accounting;Speculation;Derivatives disclosures;SFAS 161

Chiorean, Raluca

关键词: Corporate risk management;    Derivatives;    Hedge accounting;    Speculation;    Derivatives disclosures;    SFAS 161;   

Others  :  https://www.ideals.illinois.edu/bitstream/handle/2142/90549/CHIOREAN-DISSERTATION-2016.pdf?sequence=1&isAllowed=y

美国|英语

来源: The Illinois Digital Environment for Access to Learning and Scholarship

【 摘 要 】

I examine whether SFAS 161 derivatives disclosures affect corporate risk management behavior. First, I find that the adoption of SFAS 161 has real effects on firms’ risk management strategy, resulting in lower overall derivatives use and speculation with derivatives. Second, I find that SFAS 161 also has an accounting effect as managers seem to avoid hedge accounting, and prefer to use non-designated derivatives after the introduction of the standard. Finally, I develop a new method to determine whether the accounting designation of derivatives informs financial statement users of their economic use (speculate or hedge). My findings show that, while the accounting designation of derivatives is informative of their economic use in general, it is less informative after the adoption of SFAS 161. Overall, firms’ response to SFAS 161-derivatives disclosures is mixed. On the one hand, firms engage in more prudent risk management, decreasing the extent to which they speculate with derivatives. On the other hand, firms reduce the extent of overall derivatives use, which may lower the benefits associated with hedging derivatives.