13.03.2023

Dissertationen am Fachbereich

Viktoria Müller-Henneberg, M.Sc.: Essays on IFRS 9 Hedge Accounting. Im Februar 2023 fand die Disputation mit den Gutachtern Prof. Dr. Renate Hecker, Prof. Dr. Christian Koziol statt. Mehr über die Forschungsergebnisse...

Der IFRS 9 regelt den Ansatz und die Bewertung von Finanzinstrumenten (finanzielle Vermögenswerte und finanzielle Schulden) sowie die Abbildung von Sicherungsbeziehungen (sogenannte Hedge Accounting). IFRS 9 ist verpflichtend seit 2018 anzuwenden. IFRS 9 wurde in EU-Recht übernommen.  IFRS 9 löste das IAS 39 als Finanzinstrument ab.

The dissertation addresses the requirements on hedge accounting during the transition from IAS 39 towards IFRS 9. The work is motivated by the ongoing and extraordinary transition period in which the IASB grants firms to choose between the equally acceptable hedge accounting models of IAS 39 and IFRS 9. With IFRS 9 hedge accounting, the IASB aims to align hedge accounting more closely to firms’ risk management activities. The dissertation consists of three single-authored studies.

In the first study, Müller-Henneberg analyzes the consequences of cash flow hedge accounting on portfolio earn-ings of firms focusing on main changes between IFRS 9 and IAS 39. For this purpose, she developed a simulation study which illustrates the quantitative effects on the accounting entries according to the currently applicable hedge accounting methods. It is especially addressed what accounting differences arise and how these distinctions may affect a firm’s earnings. Furthermore, she examines to which firms early switching becomes especially desirable or burdensome. The paper shows that portfolio earnings are affected differently. Additionally, sensitivity to volatility changes varies among the methods. Moreover, a partly ineffective hedging relationship does not necessarily decrease earnings compared to its fully effective counterpart. In the second study, she analyzed the hedge accounting practices of German non-financial, listed firms using a hand-collected data set of hedge accounting practices.  Müller-Henneberg shows that approximately 75% of hedge accounting applicants opt for IFRS 9. IFRS 9 hedge accounting users designate significantly more hedging relationships to reduce commodity and inter-est rate risk exposures and designate fair value hedges on a significantly larger scale. The tremendous increase in hedge accounting for commodity risk exposures might even indicate possible real effects. Additionally, the results show that IFRS 9 users are greater in size and have lower levels of asymmetric information.

The third study,  analyzes whether the voluntary adoption of IFRS 9 hedge accounting and the mandatory application of the related disclosure requirements of IFRS 7 impact sell-side ana-lysts’ earnings forecast quality. Müller-Henneberg measured forecast quality through forecast dispersion and error. The measures serve as proxies for information asymmetry. Using a German sample of non-financial firms, she found no statistically significant differences in forecast quality between IAS 39 and IFRS 9 hedge accounting applicants. Also, the economic differences are relatively small. A further analysis on bid-ask spreads confirms my results. Based on these findings, hedge accounting accord-ing to IAS 39 and IFRS 9 seems to have similar informational effects on external stakeholders. The work is particularly interesting for standard setters. Even though the studies underlying this work do not clearly indicate whether or not the IASB succeeds with its objective to align hedge accounting more closely with risk management activities, they provide first insights regarding the hedge accounting practices of non-financial firms during the transition from IAS 39 towards IFRS 9 and raise further demand for research.

Text nach Müller Henneberg