Pub Date : 2005-03-01DOI: 10.1142/S0219868105000276
James N. Bodurtha
Generally, it is presumed that an interest rate swap hedge of fixed income assets and liabilities will be 100% effective. Specifically, SFAS-133.68 actualizes this effectiveness through its short-cut method (SCM) interest rate risk hedge specification. We show that this presumption is false. This negative finding leads to a severe IAS-39 implementation problem because IAS-39 explicitly precludes the SCM. Furthermore, this problem has major implications for bank (and insurance) capital requirements. We specify a series of remedies for this problem. We believe that the best remedy falls in the fine print of IAS-39.F.5.5 guidance. In this guidance, a "theoretical swap" hedge effectiveness method, (B), effectively, provides FAS-133 SCM treatment for analogous IAS-39 interest rate risk hedges.
{"title":"DIVERGENT FAS-133 AND IAS-39 INTEREST RATE RISK HEDGE EFFECTIVENESS: PROBLEM AND REMEDIES","authors":"James N. Bodurtha","doi":"10.1142/S0219868105000276","DOIUrl":"https://doi.org/10.1142/S0219868105000276","url":null,"abstract":"Generally, it is presumed that an interest rate swap hedge of fixed income assets and liabilities will be 100% effective. Specifically, SFAS-133.68 actualizes this effectiveness through its short-cut method (SCM) interest rate risk hedge specification. We show that this presumption is false. This negative finding leads to a severe IAS-39 implementation problem because IAS-39 explicitly precludes the SCM. Furthermore, this problem has major implications for bank (and insurance) capital requirements. We specify a series of remedies for this problem. We believe that the best remedy falls in the fine print of IAS-39.F.5.5 guidance. In this guidance, a \"theoretical swap\" hedge effectiveness method, (B), effectively, provides FAS-133 SCM treatment for analogous IAS-39 interest rate risk hedges.","PeriodicalId":128457,"journal":{"name":"Journal of Derivatives Accounting","volume":"111 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121576625","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2005-03-01DOI: 10.1142/S021986810500032X
Kiyohito Utsunomiya
This paper analyzes the current state of non-executive employee stock option (ESO) issuance in Japan. First, I find that the main determinant of ESO issuance for individual firms is the extent of their corporate flexibility, although other hypotheses may be applicable depending on the industrial sector; second, the impact on the macro-economy is still quite small at the aggregate level. However, taking account of the fair cost of issuing ESOs could have a substantial effect on the profits of individual firms. Furthermore, I find that issuing ESOs tends to have a somewhat negative effect on stock prices.
{"title":"EMPLOYEE STOCK OPTIONS IN JAPAN: DETERMINANTS OF THEIR ISSUANCE, THEIR POTENTIAL IMPACT ON CORPORATE PROFITS, AND THEIR ASSOCIATION WITH STOCK PRICES","authors":"Kiyohito Utsunomiya","doi":"10.1142/S021986810500032X","DOIUrl":"https://doi.org/10.1142/S021986810500032X","url":null,"abstract":"This paper analyzes the current state of non-executive employee stock option (ESO) issuance in Japan. First, I find that the main determinant of ESO issuance for individual firms is the extent of their corporate flexibility, although other hypotheses may be applicable depending on the industrial sector; second, the impact on the macro-economy is still quite small at the aggregate level. However, taking account of the fair cost of issuing ESOs could have a substantial effect on the profits of individual firms. Furthermore, I find that issuing ESOs tends to have a somewhat negative effect on stock prices.","PeriodicalId":128457,"journal":{"name":"Journal of Derivatives Accounting","volume":"101 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121482877","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2005-03-01DOI: 10.1142/S0219868105000355
S. Harding, Arnaud De Toytot, Emmanuel Dubois-Pelerin, Robert A. Jones, Maria Lemos
Preparing for the imminent arrival of International Financial Reporting Standards (IFRS) is proving to be challenging for many European companies for which IFRS takes effect in 2005. Not least among these challenges are that reporting requirements are substantial and time to prepare is running short. Transition to the new standards will bring further demands as market participants familiarize themselves with the revised financial reporting. Specifically, companies will need to pay particular attention to how they communicate their financial restatements. If market participants are not provided with clear information, the capital markets could face potential disruption if investors and analysts adopt overly conservative positions until greater clarity is obtained.
{"title":"TRANSITION WITHOUT TEARS: A FIVE-POINT PLAN FOR IFRS DISCLOSURE FROM STANDARD & POOR'S RATINGS SERVICES","authors":"S. Harding, Arnaud De Toytot, Emmanuel Dubois-Pelerin, Robert A. Jones, Maria Lemos","doi":"10.1142/S0219868105000355","DOIUrl":"https://doi.org/10.1142/S0219868105000355","url":null,"abstract":"Preparing for the imminent arrival of International Financial Reporting Standards (IFRS) is proving to be challenging for many European companies for which IFRS takes effect in 2005. Not least among these challenges are that reporting requirements are substantial and time to prepare is running short. Transition to the new standards will bring further demands as market participants familiarize themselves with the revised financial reporting. Specifically, companies will need to pay particular attention to how they communicate their financial restatements. If market participants are not provided with clear information, the capital markets could face potential disruption if investors and analysts adopt overly conservative positions until greater clarity is obtained.","PeriodicalId":128457,"journal":{"name":"Journal of Derivatives Accounting","volume":"98 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129165176","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2005-03-01DOI: 10.1142/S0219868105000331
K. Wong
This paper examines the interaction between operational and financial hedging in the context of the competitive firm under output price uncertainty. The firm is endowed with an abandonment option in that its production decision is made after the true realization of the random output price has been observed. If the realized output price is less than its marginal cost, the firm optimally exercises its abandonment option and ceases from production. Otherwise, the firm lets its abandonment option extinguish and produces at its capacity. The existence of the abandonment option is shown to induce the firm to opt for a concave payoff risk-sharing rule that can be perfectly replicated by writing call options with a single strike price set equal to the marginal cost. We derive necessary and sufficient conditions that ensure a positive (negative) effect of operational hedging via the abandonment option on the firm's optimal operating leverage. In contrast, we show that the effect of financial hedging via customized exotic derivatives on the firm's optimal operating leverage is unambiguously positive. These results suggest that the interaction between abandonment options and exotic hedging is multi-dimensional and deserves further scrutiny.
{"title":"Operating Leverage and the Interaction between Abandonment Options and Exotic Hedging","authors":"K. Wong","doi":"10.1142/S0219868105000331","DOIUrl":"https://doi.org/10.1142/S0219868105000331","url":null,"abstract":"This paper examines the interaction between operational and financial hedging in the context of the competitive firm under output price uncertainty. The firm is endowed with an abandonment option in that its production decision is made after the true realization of the random output price has been observed. If the realized output price is less than its marginal cost, the firm optimally exercises its abandonment option and ceases from production. Otherwise, the firm lets its abandonment option extinguish and produces at its capacity. The existence of the abandonment option is shown to induce the firm to opt for a concave payoff risk-sharing rule that can be perfectly replicated by writing call options with a single strike price set equal to the marginal cost. We derive necessary and sufficient conditions that ensure a positive (negative) effect of operational hedging via the abandonment option on the firm's optimal operating leverage. In contrast, we show that the effect of financial hedging via customized exotic derivatives on the firm's optimal operating leverage is unambiguously positive. These results suggest that the interaction between abandonment options and exotic hedging is multi-dimensional and deserves further scrutiny.","PeriodicalId":128457,"journal":{"name":"Journal of Derivatives Accounting","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131786495","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2005-03-01DOI: 10.1142/S021986810500029X
Angelika C. Hailer, S. Rump
According to IAS 39 or FAS 133 an a posteriori test for hedge effectiveness has to be implemented when using hedge accounting. Both standards do not regulate which numerical method has to be used. A number of hedge effectiveness tests have been published recently. Such tests are of different quality; for example, not all of them can deal with the problem of small numbers. This means a test might determine an effective hedge to be ineffective, a scenario which would increase the volatility in earnings. Therefore, it seems useful to have criteria at hand to discriminate and assess hedge effectiveness tests. In this paper, we introduce such objective criteria, which we develop according to our understanding of miminum economic requirements. They are applicable to tests based on market values of two points in time as well as tests based on time series of market values. According to our criteria we compare common tests like the dollar offset ratio, regression analysis or volatility reduction, showing strengths and weaknesses. Finally, we develop a new Adjusted Hedge Interval test based on our previous one (Hailer, AC and SM Rump (2003). Zeitschrift fur das gesamte kreditwesen, 56(11), 599–603). Our test does not show weaknesses of other effectiveness tests.
{"title":"EVALUATION OF HEDGE EFFECTIVENESS TESTS","authors":"Angelika C. Hailer, S. Rump","doi":"10.1142/S021986810500029X","DOIUrl":"https://doi.org/10.1142/S021986810500029X","url":null,"abstract":"According to IAS 39 or FAS 133 an a posteriori test for hedge effectiveness has to be implemented when using hedge accounting. Both standards do not regulate which numerical method has to be used. A number of hedge effectiveness tests have been published recently. Such tests are of different quality; for example, not all of them can deal with the problem of small numbers. This means a test might determine an effective hedge to be ineffective, a scenario which would increase the volatility in earnings. Therefore, it seems useful to have criteria at hand to discriminate and assess hedge effectiveness tests. In this paper, we introduce such objective criteria, which we develop according to our understanding of miminum economic requirements. They are applicable to tests based on market values of two points in time as well as tests based on time series of market values. According to our criteria we compare common tests like the dollar offset ratio, regression analysis or volatility reduction, showing strengths and weaknesses. Finally, we develop a new Adjusted Hedge Interval test based on our previous one (Hailer, AC and SM Rump (2003). Zeitschrift fur das gesamte kreditwesen, 56(11), 599–603). Our test does not show weaknesses of other effectiveness tests.","PeriodicalId":128457,"journal":{"name":"Journal of Derivatives Accounting","volume":"02 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130471125","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2004-09-01DOI: 10.1142/S021986810400021X
Jinghong Shu, Jin E. Zhang
This paper studies the price of SP in the second step, the risk premium, λ, the spot variance, vt, and the correlation coefficient between the asset return and its volatility, ρ, are estimated by a nonlinear least-squares method that minimizes the sum of the squares of the error between the cross-sectional option price and the corresponding model price. The model performance is assessed by directly comparing the computed option model price with the market price. We find that both the Black–Scholes model and the Heston model overprice the out-of-the-money options and underprice the in-the-money options, but the degree of the bias is different. The Heston model significantly outperforms the Black–Scholes model in almost all moneyness-maturity groups. On average, the Heston model can reduce pricing errors by about 25%. However, pricing bias still exists in the Heston model. In particular, the Heston model always overprices short-term options, indicating that some other factors, such as the random jump, may also be needed to explain the option price.
{"title":"PRICING S&P 500 INDEX OPTIONS UNDER STOCHASTIC VOLATILITY WITH THE INDIRECT INFERENCE METHOD","authors":"Jinghong Shu, Jin E. Zhang","doi":"10.1142/S021986810400021X","DOIUrl":"https://doi.org/10.1142/S021986810400021X","url":null,"abstract":"This paper studies the price of SP in the second step, the risk premium, λ, the spot variance, vt, and the correlation coefficient between the asset return and its volatility, ρ, are estimated by a nonlinear least-squares method that minimizes the sum of the squares of the error between the cross-sectional option price and the corresponding model price. The model performance is assessed by directly comparing the computed option model price with the market price. We find that both the Black–Scholes model and the Heston model overprice the out-of-the-money options and underprice the in-the-money options, but the degree of the bias is different. The Heston model significantly outperforms the Black–Scholes model in almost all moneyness-maturity groups. On average, the Heston model can reduce pricing errors by about 25%. However, pricing bias still exists in the Heston model. In particular, the Heston model always overprices short-term options, indicating that some other factors, such as the random jump, may also be needed to explain the option price.","PeriodicalId":128457,"journal":{"name":"Journal of Derivatives Accounting","volume":"116 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124090766","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2004-09-01DOI: 10.1142/S0219868104000191
I. Kim, S. Byun, S. Lim
There has been considerable interest in developing stochastic volatility and jump-diffusion option pricing models, e.g. Hull and White (1987, Journal of Finance, 42, 281–300) and Merton (1976, Journal of Financial Economics, 3, 125–144). These models, however, have some undesirable aspects that arise from introducing some non-traded sources of risks to the models. Furthermore, the models require much analytical complications; thus, if they are applied to American options then it is not easy to acquire practical implications for hedging and optimal exercise strategies. This paper examines the American option prices and optimal exercise strategies where the volatility of the underlying asset changes over time in a deterministic way. The paper considers two simple cases: monotonically increasing and decreasing volatilities. The discussion of these two simple cases gives useful implications for the possibility of early-exercise and optimal exercise strategies.
人们对开发随机波动率和跳跃扩散期权定价模型非常感兴趣，例如Hull和White (1987, Journal of Finance, 42, 281-300)和Merton (1976, Journal of Financial Economics, 3, 125-144)。然而，这些模型有一些不受欢迎的方面，这些方面是由于向模型引入了一些非交易的风险来源而产生的。此外，这些模型需要大量的分析复杂性;因此，如果将它们应用于美式期权，那么就不容易获得对冲和最优行使策略的实际含义。本文研究了标的资产波动率随时间以确定性方式变化的美式期权价格和最优行权策略。本文考虑两种简单的情况:单调增加和减少波动率。这两个简单案例的讨论为早期运动和最佳运动策略的可能性提供了有益的启示。
{"title":"VALUING AND HEDGING AMERICAN OPTIONS UNDER TIME-VARYING VOLATILITY","authors":"I. Kim, S. Byun, S. Lim","doi":"10.1142/S0219868104000191","DOIUrl":"https://doi.org/10.1142/S0219868104000191","url":null,"abstract":"There has been considerable interest in developing stochastic volatility and jump-diffusion option pricing models, e.g. Hull and White (1987, Journal of Finance, 42, 281–300) and Merton (1976, Journal of Financial Economics, 3, 125–144). These models, however, have some undesirable aspects that arise from introducing some non-traded sources of risks to the models. Furthermore, the models require much analytical complications; thus, if they are applied to American options then it is not easy to acquire practical implications for hedging and optimal exercise strategies. This paper examines the American option prices and optimal exercise strategies where the volatility of the underlying asset changes over time in a deterministic way. The paper considers two simple cases: monotonically increasing and decreasing volatilities. The discussion of these two simple cases gives useful implications for the possibility of early-exercise and optimal exercise strategies.","PeriodicalId":128457,"journal":{"name":"Journal of Derivatives Accounting","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131557394","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2004-09-01DOI: 10.1142/S0219868104000154
M. Asgharian, F. Diz, G. Gregoriou, F. Rouah
This study estimates the survival time distribution of the global macro class of hedge funds. We use methods of survival analysis to investigate how performance and nonperformance features of hedge funds could affect their lifetimes. We find that the effect of monthly returns and average assets under management is significant and has an impact on survival. We further discover that between 6 and 8 years of existence there is a sharp increase in the hazard of failure, which is most likely attributed to the Russian Ruble crisis of August 1998. The assumption by the media that many global macro hedge funds have been accused of failing due to their excessive leverage may in fact be wrong.
{"title":"THE GLOBAL MACRO HEDGE FUND CEMETERY","authors":"M. Asgharian, F. Diz, G. Gregoriou, F. Rouah","doi":"10.1142/S0219868104000154","DOIUrl":"https://doi.org/10.1142/S0219868104000154","url":null,"abstract":"This study estimates the survival time distribution of the global macro class of hedge funds. We use methods of survival analysis to investigate how performance and nonperformance features of hedge funds could affect their lifetimes. We find that the effect of monthly returns and average assets under management is significant and has an impact on survival. We further discover that between 6 and 8 years of existence there is a sharp increase in the hazard of failure, which is most likely attributed to the Russian Ruble crisis of August 1998. The assumption by the media that many global macro hedge funds have been accused of failing due to their excessive leverage may in fact be wrong.","PeriodicalId":128457,"journal":{"name":"Journal of Derivatives Accounting","volume":"128 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122675070","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2004-09-01DOI: 10.1142/S0219868104000142
A. Wilson, R. L. Clark
The comparability of hedge accounting disclosures between companies increases the informational value of financial statements. In order to eliminate inconsistency in the reporting of hedging activities, the FASB issued SFAS No. 133, which was intended to provide comprehensive guidance for all derivatives reporting and disclosure. The fact that SFAS No. 133 allows some hedging transactions to be designated as either a fair value hedge or a cash flow hedge might suggest a lack of comparability for similar transactions. This paper identified several of these transactions and provides the comparative accounting. Even though fair value and cash flow hedges are accounted for differently, there was little difference in their net effect on reported earnings while other comprehensive income did fluctuate somewhat for cash flow hedges.
{"title":"DOES ALLOWING ALTERNATIVE HEDGE DESIGNATIONS AFFECT FINANCIAL STATEMENT COMPARABILITY","authors":"A. Wilson, R. L. Clark","doi":"10.1142/S0219868104000142","DOIUrl":"https://doi.org/10.1142/S0219868104000142","url":null,"abstract":"The comparability of hedge accounting disclosures between companies increases the informational value of financial statements. In order to eliminate inconsistency in the reporting of hedging activities, the FASB issued SFAS No. 133, which was intended to provide comprehensive guidance for all derivatives reporting and disclosure. The fact that SFAS No. 133 allows some hedging transactions to be designated as either a fair value hedge or a cash flow hedge might suggest a lack of comparability for similar transactions. This paper identified several of these transactions and provides the comparative accounting. Even though fair value and cash flow hedges are accounted for differently, there was little difference in their net effect on reported earnings while other comprehensive income did fluctuate somewhat for cash flow hedges.","PeriodicalId":128457,"journal":{"name":"Journal of Derivatives Accounting","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117139808","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2004-09-01DOI: 10.1142/S0219868104000208
Jongchan Park
This paper investigates the effects of SFAS 133 on earnings volatility, earnings predictability, and equity volatility in bank holding companies (BHCs). In contrast to large BHCs' assertion prior to the adoption of SFAS 133, the three income-affecting portions (i.e. hedge ineffectiveness gains/losses, gains/losses excluded in the assessment of effectiveness, and effects from canceled forecasted transactions once designated as cash flow hedge) did not increase earnings volatility in the top 30 BHCs for the first 12 quarters after adoption. Also, the three income-affecting portions did not deteriorate analysts' forecast performance. In addition, there is no evidence that volatility of stockholders' equity significantly increases due to SFAS 133. Further investigation of notes to financial statements reveals that some BHCs adjusted their usage of derivatives prior to SFAS 133 to mitigate the impact of SFAS 133 on earnings volatility.
{"title":"THE EFFECTS OF SFAS NO. 133 ON FINANCIAL STATEMENTS IN BANK HOLDING COMPANIES: EARNINGS VOLATILITY AND EQUITY VOLATILITY","authors":"Jongchan Park","doi":"10.1142/S0219868104000208","DOIUrl":"https://doi.org/10.1142/S0219868104000208","url":null,"abstract":"This paper investigates the effects of SFAS 133 on earnings volatility, earnings predictability, and equity volatility in bank holding companies (BHCs). In contrast to large BHCs' assertion prior to the adoption of SFAS 133, the three income-affecting portions (i.e. hedge ineffectiveness gains/losses, gains/losses excluded in the assessment of effectiveness, and effects from canceled forecasted transactions once designated as cash flow hedge) did not increase earnings volatility in the top 30 BHCs for the first 12 quarters after adoption. Also, the three income-affecting portions did not deteriorate analysts' forecast performance. In addition, there is no evidence that volatility of stockholders' equity significantly increases due to SFAS 133. Further investigation of notes to financial statements reveals that some BHCs adjusted their usage of derivatives prior to SFAS 133 to mitigate the impact of SFAS 133 on earnings volatility.","PeriodicalId":128457,"journal":{"name":"Journal of Derivatives Accounting","volume":"140 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128479192","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
京公网安备 11010802042870号
京ICP备2023020795号-1
扫码关注我们
求助内容：
应助结果提醒方式：