Derivative Use and Accounting Regulation Change: Does SFAS No. 133 Hedge Accounting Affect Currency Risk Management Decisions?

10.6293/AQAFA.2011.09.11

Stephen Makar；Li Wang；Pervaiz Alam

Derivative use ； Hedge accounting

Advances in Quantitative Analysis of Finance and Accounting

9期（2011 / 06 / 01）

287 - 315

英文

The main purpose of this study is to investigate foreign exchange derivatives (FXD) use and the impact of accounting regulation change. We examine whether SFAS No. 133 hedge accounting measures explain changes in FXD use. The main results indicate that mark-to-market hedge accounting adjustments are determinants of FXD use. This suggests that firms anticipate the net economic effects associated with these SFAS No. 133 adjustments and modify their FXD use in a way that is consistent with optimal hedge theory. In addition, we find evidence that the use of hedge accounting under SFAS No. 133 has incremental power to explain changes in FXD use.

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