This study identifies the main results and research opportunities based on 52 hedge accounting-related studies, published in Scopus indexing journals from 2007-2019. The study was classified in five investigation groups based on their main topic, with Risk Management and Hedge Accounting being the topic most studied (18) and Regulatory Environment the least studied (six). The results show that during the period analysed, the journal with the largest number of publications on hedge accounting is in the United States of American and the most common origin of the journals is the United Kingdom (21). We have identified different research opportunities for each of the five groups and some general opportunities. The main opportunities relate to comparatives researches, considering samples from different countries, the development of methodologies for teaching hedge accounting and models for effectiveness measurement, the study of enterprise risk and disclosure analysis, and research on the impact of Covid-19 on hedge accounting through risk management. The study differs by identifying five classification groups for papers on hedge accounting, since prior studies didn't carry out such classification. The groups are: i) Regulatory Environment, ii) Academic Research, iii) Evolution of Hedge Accounting and Disclosure, iv) Hedge Effectiveness and v) Risk Management and Hedge Accounting. Furthermore, this study is, to our knowledge, the first bibliometric review done about hedge accounting. The paper is relevant to researchers because it points out opportunities for future studies, enabling the production of new research for a topic considered to be complex.
Citation: Geovane Camilo dos Santos, Pablo Zambra A., Jose Angel Perez Lopez. Hedge accounting: results and opportunities for future studies[J]. National Accounting Review, 2022, 4(2): 74-94. doi: 10.3934/NAR.2022005
This study identifies the main results and research opportunities based on 52 hedge accounting-related studies, published in Scopus indexing journals from 2007-2019. The study was classified in five investigation groups based on their main topic, with Risk Management and Hedge Accounting being the topic most studied (18) and Regulatory Environment the least studied (six). The results show that during the period analysed, the journal with the largest number of publications on hedge accounting is in the United States of American and the most common origin of the journals is the United Kingdom (21). We have identified different research opportunities for each of the five groups and some general opportunities. The main opportunities relate to comparatives researches, considering samples from different countries, the development of methodologies for teaching hedge accounting and models for effectiveness measurement, the study of enterprise risk and disclosure analysis, and research on the impact of Covid-19 on hedge accounting through risk management. The study differs by identifying five classification groups for papers on hedge accounting, since prior studies didn't carry out such classification. The groups are: i) Regulatory Environment, ii) Academic Research, iii) Evolution of Hedge Accounting and Disclosure, iv) Hedge Effectiveness and v) Risk Management and Hedge Accounting. Furthermore, this study is, to our knowledge, the first bibliometric review done about hedge accounting. The paper is relevant to researchers because it points out opportunities for future studies, enabling the production of new research for a topic considered to be complex.
| [1] |
Aabo T, Hansen MA, Muradoglu YG (2015) Foreign Debt Usage in Non-Financial Firms: A Horse Race between Operating and Accounting Exposure Hedging. Eur Financ Manag 21: 590-611. https://doi.org/10.1111/j.1468-036X.2013.12032.x doi: 10.1111/j.1468-036X.2013.12032.x
|
| [2] |
Abdel-khalik AR, Chen PC (2015) Growth in financial derivatives: The public policy and accounting incentives. J Account Public Pol 34: 291-318. https://doi.org/10.1016/j.jaccpubpol.2015.01.002 doi: 10.1016/j.jaccpubpol.2015.01.002
|
| [3] |
Abdullah A, Ismail KNIK (2016) The effectiveness of risk management committee and hedge accounting practices in Malaysia. Inform J 19: 2971-2976. https://doi.org/10.31235/osf.io/89cbp doi: 10.31235/osf.io/89cbp
|
| [4] |
Allayannis G, Weston JP (2001) The use of foreign currency derivatives and firm market value. Rev Financ Stud 14: 243-276. https://doi.org/10.1093/rfs/14.1.243 doi: 10.1093/rfs/14.1.243
|
| [5] |
Beatty A, Petacchi R, Zhang H (2012) Hedge commitments and agency costs of debt: Evidence from interest rate protection covenants and accounting conservatism. Rev Account Stud 17: 700-738. https://doi.org/10.1007/s11142-012-9189-4 doi: 10.1007/s11142-012-9189-4
|
| [6] |
Beneda N (2013) The impact of hedging with derivative instruments on reported earnings volatility. Appl Financ Econ 23: 165-179. https://doi.org/10.1080/09603107.2012.709599 doi: 10.1080/09603107.2012.709599
|
| [7] |
Bleck A, Liu X (2007) Market Transparency and the Accounting Regime. J Account Res 45: 229-256. https://doi.org/10.1111/j.1475-679X.2007.00231.x doi: 10.1111/j.1475-679X.2007.00231.x
|
| [8] |
Bratten B, Causholli M, Khan U (2016) Usefulness of fair values for predicting banks' future earnings: evidence from other comprehensive income and its components. Rev Account Stud 21: 280-315. https://doi.org/10.1007/s11142-015-9346-7 doi: 10.1007/s11142-015-9346-7
|
| [9] |
Cameran M, Perotti P (2014) Audit fees and IAS/IFRS adoption: Evidence from the banking industry. Int J Audit 18: 155-169. https://doi.org/10.1111/ijau.12019 doi: 10.1111/ijau.12019
|
| [10] |
Camfferman K (2015) The Emergence of the 'Incurred-Loss' Model for Credit Losses in IAS 39. Account Europe 12: 1-35. https://doi.org/10.1080/17449480.2015.1012526 doi: 10.1080/17449480.2015.1012526
|
| [11] |
Campbell JL (2015) The fair value of cash flow hedges, future profitability, and stock returns. Contemp Account Res 32: 243-279. https://doi.org/10.1111/1911-3846.12069 doi: 10.1111/1911-3846.12069
|
| [12] |
Campbell JL, Downes JF, Schwartz WC (2015) Do sophisticated investors use the information provided by the fair value of cash flow hedges? Rev Account Stud 20: 934-975. https://doi.org/10.1007/s11142-015-9318-y doi: 10.1007/s11142-015-9318-y
|
| [13] |
Campbell JL, Mauler LM, Pierce SR (2019) A review of derivatives research in accounting and suggestions for future work. J Account Lit 42: 44-60. https://doi.org/10.1016/j.acclit.2019.02.001 doi: 10.1016/j.acclit.2019.02.001
|
| [14] |
Chang YL, Liu CC, Ryan SG (2018) Accounting Policy Choice During the Financial Crisis: Evidence From Adoption of the Fair Value Option. J Account Audit Financ 36: 108-141. https://doi.org/10.1177/0148558X18793970 doi: 10.1177/0148558X18793970
|
| [15] |
Cheong CWH (2018) The Islamic gold dinar: a hedge against exchange rate volatility. Manag Financ 44: 722-738. https://doi.org/10.1108/MF-12-2016-0351 doi: 10.1108/MF-12-2016-0351
|
| [16] |
Choi JJ, Mao CX, Upadhyay AD (2015) Earnings management and derivative hedging with fair valuation: Evidence from the effects of FAS 133. Account Rev 90: 1437-1467. https://doi.org/10.2308/accr-50972 doi: 10.2308/accr-50972
|
| [17] | Deloitte (2018) NIIF 9 Instrumentos financieros. Available from: https://www2.deloitte.com/content/dam/Deloitte/cr/Documents/audit/documentos/niif-2019/NIIF%209%20-%20Instrumentos%20Financieros.pdf. |
| [18] |
Di Clemente A (2015) Hedge accounting and risk management: An advanced prospective model for testing hedge effectiveness. Econ Notes 44: 29-55. https://doi.org/10.1111/ecno.12029 doi: 10.1111/ecno.12029
|
| [19] |
Dionne G, Chun OM, Triki T (2019) The governance of risk management: The importance of directors' independence and financial knowledge. Risk Manag Insur Rev 22: 247-277. https://doi.org/10.1111/rmir.12129 doi: 10.1111/rmir.12129
|
| [20] |
Duangploy O, Helmi D (2000) Foreign currency hedge accounting: multi-currency versus functional currency accounting. Manag Audit J 15: 232-246. https://doi.org/10.1108/02686900010339364 doi: 10.1108/02686900010339364
|
| [21] |
Duh RR, Hsu AW, Alves PAP (2012) The impact of IAS 39 on the risk-relevance of earnings volatility: Evidence from foreign banks cross-listed in the USA. Econ J Contemp Account 8: 23-38. https://doi.org/10.1016/j.jcae.2012.03.002 doi: 10.1016/j.jcae.2012.03.002
|
| [22] |
Dybvig PH, Marshall WJ (2013) The new risk management: The good, the bad, and the ugly. Fed Reserve Bank St 95: 273-291. https://doi.org/10.20955/r.95.273-291 doi: 10.20955/r.95.273-291
|
| [23] |
Figueiredo DB, Paranhos R, da Silva Júnior JA, et al. (2014) O que é, para que serve e como se faz uma meta-análise? Teor Pesqui 23: 205-228. https://doi.org/10.4322/tp.2014.018 doi: 10.4322/tp.2014.018
|
| [24] |
Frestad D (2018) Managing earnings risk under SFAS 133/IAS 39: the case of cash flow hedges. Rev Quantit Financ Account 51: 159-197. https://doi.org/10.1007/s11156-017-0667-4 doi: 10.1007/s11156-017-0667-4
|
| [25] |
Frestad D, Beisland LA (2015) Hedge Effectiveness Testing as a Screening Mechanism for Hedge Accounting: Does It Work? J Account Audit Financ 30: 35-56. https://doi.org/10.1177/0148558X14549457 doi: 10.1177/0148558X14549457
|
| [26] | Galdi FC, Guerra LFG (2009) Determinantes para utilização do hedge accounting: uma escolha contábil. Rev de Educação e Pesqui Em Contabilidade 3: 23-44. |
| [27] |
Galvão TF, Pereira MG (2014) Revisões sistemáticas da literatura: passos para sua elaboração. Epidemiol e Serviços de Saúde 23: 183-184. https://doi.org/10.5123/s1679-49742014000100018 doi: 10.5123/s1679-49742014000100018
|
| [28] |
Gigler F, Kanodia C, Venugopalan R (2007) Assessing the information content of mark-to-market accounting with mixed attributes: The case of cash flow hedges. J Account Res 45: 257-276. https://doi.org/10.1111/j.1475-679X.2007.00232.x doi: 10.1111/j.1475-679X.2007.00232.x
|
| [29] |
Glaum M, Klcker A (2011) Hedge accounting and its influence on financial hedging: When the tail wags the dog. Account Bus Res 41: 459-489. https://doi.org/10.1080/00014788.2011.573746 doi: 10.1080/00014788.2011.573746
|
| [30] |
Goodman T, Neamtiu M, Zhang XF (2018) Fundamental analysis and option returns. J Account Audit Financ 33: 72-97. https://doi.org/10.1177/0148558X17733593 doi: 10.1177/0148558X17733593
|
| [31] |
Guay WR (1999) The impact of derivatives on firm risk: An empirical examination of new derivative users. J Account Econ 26: 319-351. https://doi.org/10.1016/S0165-4101(98)00032-9 doi: 10.1016/S0165-4101(98)00032-9
|
| [32] |
Gumb B, Dupuy P, Baker CR, et al. (2018) The impact of accounting standards on hedging decisions. Account Audit Accoun J 31: 193-213. https://doi.org/10.1108/AAAJ-03-2016-2448 doi: 10.1108/AAAJ-03-2016-2448
|
| [33] | Hassan MS, Percy M, Stewart J (2006) The value relevance of fair value disclosures in australian firms in the extractive industries. Asian Acad Manag J Account Financ 2: 41-61. |
| [34] |
Hope OK, Kang T, Thomas WB, et al. (2008) Pricing and mispricing effects of SFAS 131. J Bus Financ Account 35: 281-306. https://doi.org/10.1111/j.1468-5957.2007.02071.x doi: 10.1111/j.1468-5957.2007.02071.x
|
| [35] |
Huan X, Parbonetti A (2019) Financial derivatives and bank risk: evidence from eighteen developed markets. Account Bus Res 49: 847-874. https://doi.org/10.1080/00014788.2019.1618695 doi: 10.1080/00014788.2019.1618695
|
| [36] |
Hughen L (2010) When Do Accounting Earnings Matter More than Economic Earnings? Evidence from Hedge Accounting Restatements. J Bus Financ Account 37: 1027-1056. https://doi.org/10.1111/j.1468-5957.2010.02216.x doi: 10.1111/j.1468-5957.2010.02216.x
|
| [37] |
Hwang ALJ (2002) Comparative analysis of accounting treatments for derivatives. J Account Educ 20: 05-233. https://doi.org/10.1016/S0748-5751(02)00004-0 doi: 10.1016/S0748-5751(02)00004-0
|
| [38] | IASB (2018) IFRS 9 Instrumentos financeiros. Available from: https://bit.ly/3v3268c. |
| [39] |
Juhl T, Kawaller IG, Koch PD (2012) The effect of the hedge horizon on optimal hedge size and effectiveness when prices are cointegrated. J Futures Markets 32: 37-876. https://doi.org/10.1002/fut doi: 10.1002/fut
|
| [40] |
Kanagaretnam K, Mathieu R, Shehata M (2009) Usefulness of comprehensive income reporting in Canada. J Account Public Pol 28: 49-365. https://doi.org/10.1016/j.jaccpubpol.2009.06.004 doi: 10.1016/j.jaccpubpol.2009.06.004
|
| [41] |
Kanodia C (2010) Accounting Disclosure and Real Effects. Account Rev 85: 119-1120. https://doi.org/10.2308/accr.2010.85.3.1119 doi: 10.2308/accr.2010.85.3.1119
|
| [42] |
Kawaller IG, Koch PD (2013) Hedge Effectiveness Testing Revisited. J Deriv Fall 21: 83-94. https://doi.org/10.3905/jod.2013.21.1.083 doi: 10.3905/jod.2013.21.1.083
|
| [43] |
Kharbanda V, Singh A (2018) Futures market efficiency and effectiveness of hedge in Indian currency market. Int J Emerg Mark 13: 2001-2027. https://doi.org/10.1108/IJoEM-08-2017-0320 doi: 10.1108/IJoEM-08-2017-0320
|
| [44] |
Kharbanda V, Singh A (2020) Hedging and effectiveness of Indian currency futures market. J Asia Bus Stud 14: 581-597. https://doi.org/10.1108/JABS-10-2018-0279 doi: 10.1108/JABS-10-2018-0279
|
| [45] |
Kim JB, Shroff P, Vyas D, et al. (2018). Credit Default Swaps and Managers' Voluntary Disclosure. J Account Res 56: 53-988. https://doi.org/10.1111/1475-679X.12194 doi: 10.1111/1475-679X.12194
|
| [46] | Lima IS, Lopes AB, Galdi FC (2011) Manual de Contabilidade e Tributação de Instrumentos Financeiros e Derivativos, 2 Eds., Atlas. |
| [47] |
Lombardi LJ (2010) Monitoring changes in capital and hedge effectiveness under fair value accounting principles. N Am Actuar J 14: 1-15. https://doi.org/10.1080/10920277.2010.10597574 doi: 10.1080/10920277.2010.10597574
|
| [48] |
Makar SD, Huffman SP (2008) UK multinationals' effective use of financial currency-hedge techniques: Estimating and explaining foreign exchange exposure using bilateral exchange rates. J Int Financ Managt Account 19: 219-235. https://doi.org/10.1111/j.1467-646X.2008.01022.x doi: 10.1111/j.1467-646X.2008.01022.x
|
| [49] |
Makar S, Wang L, Alam P. (2013) The mixed attribute model in SFAS 133 cash flow hedge accounting: Implications for market pricing. Rev Account Stud 18: 66-94. https://doi.org/10.1007/s11142-012-9201-z doi: 10.1007/s11142-012-9201-z
|
| [50] |
Malaquias RF, Zambra P (2018) Disclosure of financial instruments: Practices and challenges of Latin American firms from the mining industry. Res Int Bus Financ 45: 158-167. https://doi.org/10.1016/j.ribaf.2017.07.144 doi: 10.1016/j.ribaf.2017.07.144
|
| [51] |
Malaquias RF, Zambra P (2019) Complexity in accounting for derivatives: Professional experience, education and gender differences. Accounting Research Journal 33: 108-127. https://doi.org/10.1108/ARJ-11-2017-0192 doi: 10.1108/ARJ-11-2017-0192
|
| [52] |
Manchiraju H, Hamlen S, Kross W, et al. (2016) Fair value gains and losses in derivatives and CEO Compensation. J Account Audit Financ 31: 311-338. https://doi.org/10.1177/0148558X15584238 doi: 10.1177/0148558X15584238
|
| [53] |
Melumad ND, Weyns G, Ziv A (1999) Comparing alternative hedge accounting standards: Shareholders' perspective. Rev Account Stud 4: 265-292. https://doi.org/10.2139/ssrn.189853 doi: 10.2139/ssrn.189853
|
| [54] |
Middelberg SL, Buys PW, Styger P (2012) The accountancy implications of commodity derivatives: A South African agricultural sector case study. Agrekon 51: 97-116. https://doi.org/10.1080/03031853.2012.749571 doi: 10.1080/03031853.2012.749571
|
| [55] |
Minton BA, Stulz R, Williamson R (2009) How Much Do Banks Use Credit Derivatives to Hedge Loans? J Financ Serv Res 35: 1-31. https://doi.org/10.1007/s10693-008-0046-3 doi: 10.1007/s10693-008-0046-3
|
| [56] |
Morais LC, Cezar IM, de Souza CC (2011) Uso de derivativos agropecuários como mecanismo de comercialização de soja, no município de Rio Verde, Goiás. Rev Ceres 58: 567-575. https://doi.org/10.1590/s0034-737x2011000500006 doi: 10.1590/s0034-737x2011000500006
|
| [57] |
Naylor M, Greenwood R (2008) The characteristics of foreign exchange hedging: A comparative analysis. J Asia Pac Bus 9: 121-152. https://doi.org/10.1080/10599230801981886 doi: 10.1080/10599230801981886
|
| [58] |
Novotny-Farkas Z (2016) The Interaction of the IFRS 9 Expected Loss Approach with Supervisory Rules and Implications for Financial Stability. Account Europe 13: 197-227. https://doi.org/10.1080/17449480.2016.1210180 doi: 10.1080/17449480.2016.1210180
|
| [59] |
Oktavia O, Siregar SV, Wardhani R, et al. (2019) The effects of financial derivatives on earnings management and market mispricing. Gadjah Mada Int J Bus 21: 289-307. https://doi.org/10.22146/gamaijb.34112 doi: 10.22146/gamaijb.34112
|
| [60] |
Panaretou A, Shackleton MB, Taylor PA (2013) Corporate risk management and hedge accounting. Contemp Account Res 30: 116-139. https://doi.org/10.1111/j.1911-3846.2011.01143.x doi: 10.1111/j.1911-3846.2011.01143.x
|
| [61] |
Potin SA, Bortolon PM, Sarlo Neto A (2016) Hedge accounting in the Brazilian stock market: Effects on the quality of accounting information, disclosure, and information asymmetry. Rev Contab Financ 27: 202-216. https://doi.org/10.1590/1808-057x201602430 doi: 10.1590/1808-057x201602430
|
| [62] |
Richie N, Glegg C, Gleason KC (2006) The effects of SFAS 133 on foreign currency exposure of US-based multinational corporations. J Multinatl Financ M 16: 424-439. https://doi.org/10.1016/j.mulfin.2005.10.001 doi: 10.1016/j.mulfin.2005.10.001
|
| [63] |
Rocha EM, Da Freitas JSS, Valdevino RQS, et al. (2019) Hedge Accounting: aplicação dos métodos prospectivos de eficácia nas instituições financeiras bancárias da B3. Rev Ciências Administrativas 25: 1-16. https://doi.org/10.5020/2318-0722.2019.7933 doi: 10.5020/2318-0722.2019.7933
|
| [64] |
Santos RB, Lima FG, Gatsios RC, et al. (2017) Risk management and value creation: new evidence for Brazilian non-financial companies. Appl Econ 49: 5815-5827. https://doi.org/10.1080/00036846.2017.1343451 doi: 10.1080/00036846.2017.1343451
|
| [65] |
Schöndube-Pirchegger B (2006) Hedging, hedge accounting, and speculation in a rational expectations equilibrium. J Account Public Pol 25: 687-705. https://doi.org/10.1016/j.jaccpubpol.2006.09.003 doi: 10.1016/j.jaccpubpol.2006.09.003
|
| [66] |
Shin HS (2007) Discussion of assessing the information content of mark-to-market accounting with mixed attributes: the case of cash flow hedges and market transparency and the accounting regime. J Account Res 45: 277-287. https://doi.org/10.1111/j.1475-679X.2007.00233.x doi: 10.1111/j.1475-679X.2007.00233.x
|
| [67] |
Sticca RM, Nakao SH (2019) Hedge accounting choice as exchange loss avoidance under financial crisis: Evidence from Brazil. Emerg Mark Rev 41: 100655. https://doi.org/10.1016/j.ememar.2019.100655 doi: 10.1016/j.ememar.2019.100655
|
| [68] | Strnad P (2009) Fair value and interest rate risk of demand deposits. Ekon Cas 57: 682-699. |
| [69] | Strouhal J, Bonaci CG, Matis D (2010) Accounting for derivatives: Hedging or trading? WSEAS T Bus Econ 7: 242-251. |
| [70] |
Strouhal J, Ištvánfyová J (2010) Financial crisis and hedge accounting: Some evidence from czech market. 2010 International Conference on Financial Theory and Engineering, ICFTE 2010, 85-88. https://doi.org/10.1109/ICFTE.2010.5499421 doi: 10.1109/ICFTE.2010.5499421
|
| [71] |
Tessema A, Deumes (2018) SFAS 133 and income smoothing via discretionary accruals: The role of hedge effectiveness and market volatility. J Int Financ Manag Account 29: 105-130. https://doi.org/10.1111/jifm.12070 doi: 10.1111/jifm.12070
|
| [72] |
Titova Y, Penikas H, Gomayun N (2020) The impact of hedging and trading derivatives on value, performance and risk of European banks. Empir Econ 58: 535-565. https://doi.org/10.1007/s00181-018-1545-1 doi: 10.1007/s00181-018-1545-1
|
| [73] |
Valenzuela-Fernandez L, Merigó JM, Lichtenthal JD, et al. (2019).A Bibliometric Analysis of the First 25 Years of the Journal of Business-to-Business Marketing. J Bus-Bus Mark 26: 75-94. https://doi.org/10.1080/1051712X.2019.1565142 doi: 10.1080/1051712X.2019.1565142
|
| [74] |
Vasvari FP (2012) Discussion of "Hedge commitments and agency costs of debt: Evidence from interest rate protection covenants and accounting conservatism. Rev Account Stud 17: 739-748. https://doi.org/10.1007/s11142-012-9196-5 doi: 10.1007/s11142-012-9196-5
|
| [75] |
Wang L, Makar S (2019) Hedge accounting and investors' view of FX risk. Int J Account Inform Manage 27: 407-424. https://doi.org/10.1108/IJAIM-10-2017-0121 doi: 10.1108/IJAIM-10-2017-0121
|
| [76] |
Wang SIL (2018) Bank External Financing and Early Adoption of SFAS 133. Rev Pac Basin Financ Mark Pol 21. https://doi.org/10.1142/S0219091518500157 doi: 10.1142/S0219091518500157
|
| [77] |
Zambra P, Malaquias RF, Rech IJ, et al. (2019) Complexidade no disclosure financeiro: O papel das características das empresas contratantes. Rev Contab Financ 30. https://doi.org/10.1590/1808-057x201807940 doi: 10.1590/1808-057x201807940
|
| [78] |
Zorzi R, Friedl B (2014) The optimal hedge ratio-an analytical decision model considering periodical accounting constraints. Rev Pac Basin Financ Mark Pol 17: 1-36. https://doi.org/10.1142/S0219091514500246 doi: 10.1142/S0219091514500246
|
 Nar-04-02-005-s001.pdf |
 |
Figures(2) / Tables(1)
Geovane Camilo dos Santos, Pablo Zambra A., Jose Angel Perez Lopez. Hedge accounting: results and opportunities for future studies[J]. National Accounting Review, 2022, 4(2): 74-94. doi: 10.3934/NAR.2022005
DownLoad: