Relevant bibliographies by topics / Hedging (Finance) – Accounting

Academic literature on the topic 'Hedging (Finance) – Accounting'

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Published: 4 June 2021
Last updated: 19 February 2022

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Journal articles on the topic "Hedging (Finance) – Accounting"

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WILCOX, JARROD. "Better Dynamic Hedging." Journal of Risk Finance 2, no. 4 (March 2001): 5–15. http://dx.doi.org/10.1108/eb043471.

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Alghalith, Moawia. "Input hedging: generalizations." Journal of Risk Finance 8, no. 3 (May 29, 2007): 309–12. http://dx.doi.org/10.1108/15265940710750521.

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Hoelscher, Seth A. "Voluntary hedging disclosure and corporate governance." Review of Accounting and Finance 19, no. 1 (June 10, 2019): 5–29. http://dx.doi.org/10.1108/raf-01-2018-0001.

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Purpose This paper aims to investigate the implications of governance quality on a firm’s information environment in the context of voluntary changes in hedging disclosures made by oil and gas companies. Design/methodology/approach The research utilizes a Factiva-guided search to hand-collect public disclosures related to changes in hedging policies along with the hand collection of financial derivatives positions and operational hedging contracts data using 10-K filings. The paper addresses self-selection bias, which typically plagues voluntary disclosure studies, by implementing a Heckman (1979) two-step model to estimate the decision process, make changes in their hedge program and, conditional on making changes to their hedging activities, provide disclosure. Findings Oil and gas firms with relatively poor governance are more likely to voluntarily disclose hedging changes and do so more frequently (substitution hypothesis). There is evidence that poorly governed firms in the presence of large shareholders (i.e. high institutional ownership) are more likely to provide transparency of hedging policy changes. Originality/value This is the first study to combine hand-collected changes in hedging voluntary disclosures and hand-collected derivative position data to investigate the interaction of corporate governance and voluntary disclosure. The sample allows for analysis between three sub-samples: companies that do not make changes in hedging and do not hedge, firms that make changes in their hedging policies but do not disclose the changes during a given year and companies that change their hedging activities and provide voluntary disclosure. This unique setting helps to alleviate concerns of self-selection bias associated with voluntary disclosure.
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Korkeamäki, Timo, Eva Liljeblom, and Markus Pfister. "Airline fuel hedging and management ownership." Journal of Risk Finance 17, no. 5 (November 21, 2016): 492–509. http://dx.doi.org/10.1108/jrf-06-2016-0077.

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Purpose The purpose of this paper is to study the value effects of hedging in the airline industry during a period of high volatility and high fuel costs. The authors also study the determinants of hedging in the airline industry, most importantly whether managerial ownership affects airlines’ tendency to hedge their fuel price risk. Design/methodology/approach This study’s research design follows closely previous studies in the area. This allows comparison of the results of this study to those reported earlier, and thus the authors can draw conclusions about the effects of the different market conditions during the sample period. Findings The authors find a positive relationship between hedging and firm value, but the relationship is weaker than what is reported in prior studies. The result appears driven by the early part of the sample, whereas in the latter half of the sample, when uncertainty and fuel price are higher, the hedging premium is smaller. The authors also find that hedging premium is larger for firms that follow passive hedging strategies and that managerial ownership increases the firms’ degree of hedging. Originality/value This study provides new results on the old question of whether hedging generates value in the airline industry. The recent period of high volatility and high fuel prices makes this an interesting question to re-visit.
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Schnabel, Jacques A. "Hedging and debt overhang: a conceptual note." Journal of Risk Finance 16, no. 2 (March 16, 2015): 164–69. http://dx.doi.org/10.1108/jrf-10-2014-0140.

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Purpose – This paper aims to examine the nexus between hedging, which reduces the volatility of corporate assets, and the anomaly of debt overhang, whereby corporate management is motivated to reject positive net present value (NPV) projects. The question of whether hedging ameliorates or aggravates debt overhang is addressed. Design/methodology/approach – The Black–Scholes isomorphism between common shares and call options is exploited to determine the allocation of a project’s NPV between debt- and stock-holders. The effect of hedging on this NPV-partitioning is then gauged to determine the resulting likelihood of debt overhang. Findings – If the volatility of corporate assets is below a critical maximum, hedging ameliorates debt overhang consistent with extant theoretical research. However, above that critical value of volatility, hedging aggravates debt overhang. Originality/value – The novel result of this note, namely, hedging may exacerbate debt overhang, is demonstrated both analytically and intuitively. The latter is explained by allusion to a second agency-theoretic conflict between debt- versus stock-holders, namely, risk shifting. The disparate effects of hedging on debt overhang imply a non-monotonic relationship between metrics for these two variables, which is a phenomenon that extant empirical studies have failed to take into account.
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Powers, Michael R. "Diversification, hedging, and “pacification”." Journal of Risk Finance 11, no. 5 (November 9, 2010): 441–45. http://dx.doi.org/10.1108/15265941011092031.

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Ebach, Eva Marie, Michael Hertel, Andreas Lindermeir, and Timm Tränkler. "Toward an optimal hedging strategy considering earnings volatility through fair value accounted financial derivatives." Journal of Risk Finance 17, no. 3 (May 16, 2016): 310–27. http://dx.doi.org/10.1108/jrf-07-2015-0064.

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Purpose The purpose of this paper is to determine a financial institution's optimal hedging degree under consideration of costly earnings volatility induced by fair value accounted derivatives. The discussion on the adoption of fair value accounting in the financial industry has been rather controversial in recent years. Under this accounting regime, the change in market values of specific assets must be considered as profit or loss. Critics argue that fair value accounting induces higher earnings volatility compared to historical cost accounting and, therefore, may initiate a downward spiral during recessions. Thus, increased earnings volatility induces costs, which can be explained by disappointed capital market expectations. Consequently, in general, a lowering of earnings volatility will be rewarded. Consistent with this theoretical finding, empirical research provides strong evidence that companies pursue income smoothing to reduce earnings volatility. In contrast to industrial corporations, financial institutions may easily reduce their earnings volatility by engaging in additional hedging activities. However, more intense hedging usually reduces expected profits. Design/methodology/approach Based on a research project initiated by a large German bank, this study quantitatively models the trade-off between the (utility of) costs of earnings volatility and the reduction of profit potential through additional hedging. Findings By conducting sensitivity analyses and simulations of the crucial factors of the trade-off, we examine relevant causal relationships to obtain first indications about the economic benefits of income smoothing. Originality/value To the best of our knowledge, we are the first to develop an optimization model that supports decision-making by attempting to determine an optimal (additional) hedging degree considering the costs induced by earnings volatility.
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I. Ivanov, Stoyu. "Analysis of the impact of improved market trading efficiency on the speculation-hedging relation." Journal of Risk Finance 15, no. 2 (March 17, 2014): 180–94. http://dx.doi.org/10.1108/jrf-11-2013-0077.

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Purpose – In this study, the author aims to examine the behavior of QQQ options at the time of the QQQ move from AMEX to NASDAQ on December 1, 2004. The author addresses the questions: is there a relation between hedging and speculation, if such a relation exists considering the improvement in market trading efficiency after the QQQ move did the relation between speculative demand for options and hedging demand for options strengthen at the time of the QQQ move, if such a relation exists does hedging activity follow speculative activity. Design/methodology/approach – The author uses the fact that deep-out-of-the-money puts are used for hedging, whereas deep-out-of-the-money calls are used for speculation. The author uses spectral analysis on QQQ options in the attempt to answer the research question. The author uses spectral analysis because the data in the study are non-normally distributed which would make parametric testing meaningless. Findings – The author finds that indeed the relation between speculative demand and hedging demand for options exists and strengthens after the consolidation of trading on NASDAQ and that hedging follows speculation. The fact that this relation exists is economically meaningful in that this is established for the first time empirically in support of the theoretical models predicting this relation's existence. Originality/value – Market participants on both the speculation side of the investment spectrum, such as hedge funds, and hedging side of the investment spectrum, such as mutual funds and money managers, would be interested in this topic and the findings of this paper. The main contribution of this study is in examining the relation between differential demand for options by using the non-parametric tools of spectral analysis. This helps extend the understanding of exchange traded funds' (ETF') option behavior and contributes to this strand of the ETF literature.
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DAVIS, MARK H. A., WALTER SCHACHERMAYER, and ROBERT G. TOMPKINS. "Installment Options and Static Hedging." Journal of Risk Finance 3, no. 2 (January 2002): 46–52. http://dx.doi.org/10.1108/eb043487.

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Aretz, Kevin, and Söhnke M. Bartram. "CORPORATE HEDGING AND SHAREHOLDER VALUE." Journal of Financial Research 33, no. 4 (December 2010): 317–71. http://dx.doi.org/10.1111/j.1475-6803.2010.01278.x.

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Dissertations / Theses on the topic "Hedging (Finance) – Accounting"

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Cheung, Timothy Ka Hei Accounting Australian School of Business UNSW. "Patterns in returns reported by hedge funds: strategic use of variance and avoidance of reporting small losses." Awarded by:University of New South Wales. School of Accounting, 2005. http://handle.unsw.edu.au/1959.4/25191.

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This study examines systematic patterns in returns reported by hedge funds for the period from 1989 to 2003. Two patterns are examined: strategic changes in returns variance in the second half of the year and the avoidance of reporting small losses. The hedge fund industry has grown rapidly during the 1990s. Despite this rapid growth, and the large amount of investment in hedge funds, hedge funds are less regulated than other forms of investment. Given the lower level of regulation and the assumed ability of hedge fund managers to influence both investment policy and the estimation of value for illiquid assets included in the calculation of returns, I predict systematic patterns in hedge fund returns. Brown, Goetzmann and Park (2001) show that funds that perform poorly compared to their peers tend to adopt more risk in subsequent periods while funds that perform relatively well tend to adopt less risk. I replicate this result in a larger and more recent database of hedge fund returns. The strategic use of variance is more visible in the latter half of the fifteen year period examined. This result is consistent with increased investor scrutiny and competition between hedge funds in recent years. Burgstahler and Dichev (1997) show that public companies tend to avoid reporting small losses. I show that the well documented discontinuity around zero seen in public company earnings distributions is also found in the distribution of hedge fund returns. This is consistent with hedge fund managers facing similar pressure to public company managers to avoid reporting small losses, and managers having the ability to influence reported returns in a less regulated environment.
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Viswanathan, Karthik. "Formulating hedging strategies for financial risk mitigation in competitive U.S. electricity markets." Diss., Rolla, Mo. : University of Missouri-Rolla [sic] [Missouri University of Science and Technology], 2008. http://scholarsmine.mst.edu/thesis/pdf/Viswanathan_09007dcc8047876c.pdf.

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Thesis (M.S.)--Missouri University of Science and Technology, 2008.
Degree granted by Missouri University of Science and Technology, formerly known as the University of Missouri-Rolla. Vita. The entire thesis text is included in file. Title from title screen of thesis/dissertation PDF file (viewed March 31, 2008) Includes bibliographical references (p. 42-44).
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Jung, Dosub. "The model risk of option pricing models when volatility is stochastic : a Monte Carlo simulation approach /." free to MU campus, to others for purchase, 2000. http://wwwlib.umi.com/cr/mo/fullcit?p9974644.

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Scheinert, Tobias. "Managerial optimism and corporate financial policies." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2014. http://dx.doi.org/10.18452/17068.

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Diese Dissertation besteht aus drei Essays, welche empirisch den Einfluss von Manager-Optimismus auf verschiedene unternehmenspolitische Entscheidungen untersuchen. Der Ausdruck Manager-Optimismus wird hierbei verwendet um Agenten (Manager) zu beschreiben, die im Interesse der Prinzipale (Aktionäre) zu handeln glauben, aber tatsächlich ins Positive verzerrte Vorstellungen über ihre eigenen Fähigkeiten und somit über die zukünftige Performance ihrer Firmen haben. Das erste Papier untersucht den Einfluss von Manager-Optimismus auf Ausstattungsmerkmale von Fremdkapitalverträgen. Konsistent mit nach oben verzerrten Erwartungen über die zukünftigen Cash Flows ihrer Firmen zeigt sich, dass Firmen mit übermäßig optimistischen Managern häufiger Performance abhängige Verträge nutzen und zugleich eine schlechtere Performance nach Aufnahme des Fremdkapitals aufweisen als solche mit rationalen Managern. Der zweite Artikel untersucht unternehmerisches Risikomanagement. Es stellt sich heraus, dass Firmen mit optimistischen Managern signifikant weniger wahrscheinlich Finanzderivate zur Absicherung ihrer Fremdwährungsrisiken nutzen als solche mit rationalen Managern. Dieses Verhalten ist mit einer Unterschätzung von Insolvenzkosten bzw. Kosten einer finanziellen Notlage konsistent. Der dritte Teil der Arbeit untersucht empirisch das Verhältnis zwischen Manager-Optimismus und der Nutzung von großen Abschreibungen im Rahmen von CEO-Wechseln. Nach dem Abgang von CEOs kann man häufig beobachten, dass deren Nachfolger ein so genanntes big bath accounting durchführen. Hierbei werden durch Abschreibungen Verluste dem Vorgänger zugeschrieben und Verdienste für zukünftige Performanceverbesserungen für sich beansprucht. In Übereinstimmung mit den verzerrten Erwartungen über zukünftige Cash Flows ihrer Firmen zeigt sich, dass Unternehmen, welche einen optimistischen Manager einstellen, weniger wahrscheinlich ein solches earnings bath durchführen, als Firmen, die rationale Manager einstellen.
This thesis consists of three essays that empirically investigate to what extent managerial optimism affects corporate financial policy decisions. The term managerial optimism is used to describe agents (managers), who believe to act in the principals’ (shareholders’) best interest but in fact have upwardly biased views about their own abilities and consequently about the performance of their firms. The first paper investigates the impact of managerial optimism on debt contract design. Consistent with their upwardly biased view on their firm’s future cash flow, we find that firms with overly optimistic managers are more likely to choose performance sensitive debt (PSD) contracts and show worse post issue performance than firms with rational managers. The second paper analyzes corporate risk management. We find that firms with overly optimistic managers are significantly less likely to use financial derivatives to hedge their currency exposures than those with rational managers. This behavior is consistent with an underestimation of bankruptcy or financial distress costs by overly optimistic managers. The third paper empirically tests the relationship between managerial optimism and the use of large write-offs following CEO turnover. Subsequent to CEO turnover, it is often observed that incoming CEOs engage in this so called big bath accounting. Losses incurred during the big bath are attributed to the predecessors and the incoming CEOs take credit for future performance improvements. Consistent with their upwardly biased expectations concerning future firm cash flow, we find that firms hiring optimistic managers are less likely to experience an earnings bath in the year of the turnover than those hiring their rational counterparts.
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Books on the topic "Hedging (Finance) – Accounting"

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Accounting for derivatives and hedging. Boston, Mass: McGraw-Hill/Irwin, 2003.

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Adams, Jane B. Major issues related to hedge accounting. Norwalk, Conn: Financial Accounting Standards Board, 1995.

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Adams, Jane B. Major issues related to hedge accounting. Norwalk, Conn: FASB, 1995.

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Adams, Jane B. Major issues related to hedge accounting. Norwalk, CT: Financial Accounting Standards Board, 1995.

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Ramirez, Juan. Accounting for Derivatives. New York: John Wiley & Sons, Ltd., 2008.

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Ramirez, Juan. Accounting for derivatives: Advanced hedging under IFRS. Hoboken, N.J: John Wiley & Sons, Ltd., 2007.

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1942-, Johnson L. Todd, and Peterson D. Scott, eds. Hedge accounting: An exploratory study of the underlying issues. Norwalk, Conn: Financial Accounting Standards Board of the Financial Accounting Foundation, 1991.

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Scheffler, Jan. Hedge-Accounting: Jahresabschlussrisiken in Banken. Wiesbaden: Gabler, 1994.

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Goodman, Victor. The mathematics of finance: Modeling and hedging. Australia: Brooks/Cole, 2001.

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The mathematics of finance: Modeling and hedging. Australia: Brooks/Cole, 2001.

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Book chapters on the topic "Hedging (Finance) – Accounting"

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Hung, Mao-wei, Cheng-few Lee, and Leh-chyan So. "Hedging with Foreign-Listed Single Stock Futures." In Advances in Quantitative Analysis of Finance & Accounting, 129–51. WORLD SCIENTIFIC, 2005. http://dx.doi.org/10.1142/9789812701213_0008.

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Hung, Mao-wei, Cheng-few Lee, and Leh-chyan So. "Hedging with Foreign-Listed Single Stock Futures." In Advances in Quantitative Analysis of Finance & Accounting, 129–51. WORLD SCIENTIFIC, 2004. http://dx.doi.org/10.1142/9789812565457_0008.

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Conference papers on the topic "Hedging (Finance) – Accounting"

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Rajendran, Madhumathi, and Ranganatham Madabhushi. "Impact of Operational Risks and Hedging practices of Banks in India." In Annual International Conference on Accounting and Finance (AF 2016). Global Science & Technology Forum ( GSTF ), 2016. http://dx.doi.org/10.5176/2251-1997_af16.76.

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Amonhaemanon, Dalina, and Jan Annaert. "Real Estate Securities and Inflation-Hedging Ability Evidence in Thailand: 1987-2013." In 4th Annual International Conference on Accounting and Finance (AF 2014). Global Science & Technology Forum (GSTF), 2014. http://dx.doi.org/10.5176/2251-1997_af14.59.

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