Hedge accounting no agronegócio brasileiro

Abstract

This research was motivated by the assumption that the practice of hedge accotunting can eliminate volatilities in the result caused by exposures to market risks, whose risks are substantial in agribusiness companies. These risks are originated by its operational activities, which can create volatility in cash flows due to price variability, which, consequently, impact the accounting results in the financial statements, more specifically the operating income items. The main market risks arising from agribusiness activities are commodities and foreign exchange. Such risks can be protected by financial instruments, usually derivatives, which result from an economic relationship known as hedging, this strategy allows the reduction of risks exposure. The hedge relationship when recorded in the financial statements results in mismatches in the accounts, including those where the hedging instrument is recorded in income lines other than the hedged item. When the hedge relationship is designated for hedge accounting practice, these mismatches are eliminated, in general, the results of the effective hedge installments are recorded in equity until the moment the hedge object is realized or when the hedge item and the instrument are recorded at fair value and are recorded immediately in the income statement. Usually, the hedge instrument, when recorded in the income statement, affects the operating income items. Thus, the general objective of this research was to verify if there were indicatiors that demonstrate that the volatility of the gross margin (ΔMB) was lower in the agribusiness companies that adopted hedge accounting in the period from 2010 to 2018. The companies of the sample are of the Brazilian agribusiness and totaled a number of 219 observations, the data were approached in a quantitative way through statistical techniques, such as; descriptive analysis, means comparison tests and regression analysis. The control variables for this research are: Size (TAM); functional dollar currency (MODFC); share control (CTRAC); big four auditing company (BIGFOUR) and sector (SECTOR). According to the results of the regression, the findings demonstrate that there are indications that companies that adopt foreign exchange hedge accounting (HACMB) have less volatility in the gross margin (ΔMB) than companies that did not adopt, for companies that adopted commodity hedge accounting (HACDTY) the results present the inverse of the expected, that is, the results show that companies that adopted the (HACDTY) had greater volatility in the gross margin (ΔMB) than companies that did not adopt. However, in the descriptive statistics, the results were reversed, that is, companies that adopted the (HACDTY) showed less volatility in MB than companies that did not adopt this type of hedge accounting and companies that adopted (HACMB), presented higher volatility in MB than companies that have not adopted this type of hedge accounting. For future research suggestions, a contribution would be to approach other countries and compare them with companies in Brazil.