Relação entre Disclosure de derivativos, adoção do Hedge Accounting e valor de mercado

Abstract

The search for reducing information asymmetry between investors and managers is one of the pillars in the discussion on the disclosure of financial statements. In this context, companies that use derivative financial instruments to hedge against various risks have the option of using them in accordance with hedge accounting rules. The objective of this research is to analyze the relationship between derivatives disclosure, the adoption of hedge accounting and the market value of non-financial companies in the Brazilian stock market, following the pronouncement of CPC 48 (2016). To this end, a descriptive, documentary and quantitative research was carried out, in which the financial data and accounting statements of 59 companies from different sectors were analyzed, which had derivative contracts between 2018 and 2023. The data collected were used in the calculations of econometric models estimated by the Systemic Generalized Method of Moments (GMM), whose dependent variables were the Derivatives Disclosure Index (IDD), Market-to-Book and Tobin's Q and, as independent variables, the hedge accounting classifications were used. The result of the measurement of the Disclosure Index showed that the entities that made up the sample contracted mainly Swap and Non-Deliverable Forward (NDF) type derivatives, with the mentions regarding these contracts increasing between 2018 and 2022 and decreasing in 2023. Additionally, the results found indicate that the disclosure of derivatives of the companies analyzed is positively related to the adoption of cash flow hedging. Furthermore, in the assessment between derivatives disclosure and market value, measured by Market-to-Book and Tobin's Q, it was found that this relationship was negative and significant only with Tobin's Q. Finally, in the relationship between market value and adoption of hedge accounting, the net investment hedge abroad wasthe one that presented a positive and significant result in both econometric models, despite being the least frequent in the sample. Cash flow and fair value hedge, in both results, presented a negative and non-significant relationship with market value. It is concluded that there is a positive relationship between derivatives disclosure and cash flow hedge, that there is a negative relationship between derivatives disclosure and Tobin's Q, and that hedge accounting classifications, separately, do not impact market value. This research contributed to the discussion in the financial literature on the relationship between hedge accounting and disclosure of information about derivatives, taking into account that the adoption of hedge accounting is voluntary. Furthermore, it contributed to the continuity of debates on the relationship between corporate risk management and company value, by showing that different risk management strategies do not have an impact on the assessment of company value.