Instrumentos Financieros
En esta sección se presentan diversos estudios relacionados con los múltiples temas que se desprenden del tratamiento que las Normas Internacionales de Información Financiera (IFRS por su sigla en inglés) le otorgan a los “Instrumentos Financieros”. La presentación de los estudios se estructura en dos categorías. La primera comprende trabajos realizados por Observatorio IFRS, mientras que la segunda categoría se centra en proporcionar bibliografía de interés.
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Normas Internacionales de Contabilidad e Información Financiera e Interpretaciones que regulan esta área de información: |
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| IFRS 7 | : | Instrumentos Financieros: Información a Revelar |
| IFRS 9 | : | Instrumentos Financieros (Vigente a partir del 01 de Enero de 2015) |
| IAS 32 | : | Instrumentos Financieros: Presentación |
| IAS 39 | : | Instrumentos Financieros: Reconocimiento y Medición |
| IFRIC 9 | : | Hechos Ocurridos despúes del Período sobre el que se Informa |
| IFRIC 16 | : | Coberturas de una Inversión Neta en un Negocio en el Extranjero |
| IFRIC 17 | : | Distribuciones, a los Propietarios, de Activos Distintos al Efectivo |
| IFRIC 19 | : | Cancelación de Pasivos con Instrumentos de Patrimonio |
Referencias bibliográficas de interés:
CÓDIGO BIF - 001
Barth, M. (1994). "Fair Value Accounting: Evidence from Investment Securities and the Market Valuation of Banks". The Accounting Review. Volumen. 69, No. 1, pp. 1-25.
Abstract
This study investigates how disclosed fair value estimates of banks' investment securities and securities gains and losses based on those estimates are reflected in share prices in comparison with historical costs. Fair value securities gains and losses are calculable because banks also disclose realized securities gains and losses. Thus, banks' investment securities provide an opportunity to examine two measurement methods, historical cost and fair value, for both an asset and its related earnings component. Previous research does not provide strong evidence on value-relevance of asset fair value estimates. Errors in estimating the fair values is the primary explanation for this unexpected finding. Another explanation relates to cross-sectional differences in sample firms, e.g., industry membership. This study examines disclosed fair values of investment securities that can be considered more reliable than previously-studied fair value disclosures. Moreover, the sample firms here belong to one industry, banking. This study also investigates the Barth et al. (1990) suggestion that fair value securities gains and losses are value-relevant. By examining how share prices reflect historical costs and fair values, evidence is provided on the measures' relevance and reliability. Because these are the FASB's two principal criteria for choosing among accounting alternatives [Statement of Financial Accounting Concepts (SFAC) No. 2, FASB 1980], the evidence can inform the FASB's deliberations on using fair value accounting for investment securities, to the extent the disclosed fair value estimates would be used to measure investment securities under fair value accounting. Share prices for a sample of banks are explained using investment securities historical costs and fair value estimates together with the book value of equity before investment securities. Similarly, bank stock returns are explained using securities gains and losses based on historical costs and on fair values together with earnings before securities gains and losses. The analyses provide evidence on the two methods' incremental and relative explanatory power, and relative measurement error. The findings indicate that fair value estimates of investment securities provide significant explanatory power beyond that provided by historical costs. Strikingly, historical costs provide no significant explanatory power incremental to fair values. Using a measurement error model, investment securities' fair values are found to have less measurement error than historical costs vis-a-vis the amount reflected in share prices. The findings for securities gains and losses are different. The significance of any incremental explanatory power for fair values beyond historical costs depends on the specification of the estimating equation. In some specifications, fair value securities gains and losses have no significant incremental explanatory power, but historical costs always provide explanatory power incremental to fair values. The findings based on a measurement error model indicate that fair value securities gains and losses also have more measurement error than historical costs. Thus, although fair value estimates of investment securities appear reliable and relevant to investors in valuing bank equity, fair value securities gains and losses do not. One interpretation for these findings is that although estimation error in the disclosed fair values is small enough that investment securities' fair values appear value-relevant, when two annual fair value estimates are used to calculate securities gains and losses, the effect of the combined estimation errors renders securities gains and losses value-irrelevant. Another plausible interpretation is that securities gains and losses might be offset by unrecognized correlated gains and losses on other assets and liabilities. Why this affects securities gains and losses but not investment securities is an unresolved question. Evidence from supplemental analyses gives more credence to the first interpretation than to the second.
Disponible en:
http://www.jstor.org/stable/info/248258
CÓDIGO BIF - 002
Duangploy, O. y Helmi, D. (2000). "Foreign currency hedge accounting: multi-currency versus functional currency accounting". Managerial Auditing Journal 15/5, pp. 232-246
Abstract
Auditors nowadays must be aggressive and involved in risk assessment and analysis. This paper identifies, analyzes, and recommends a solution to a current problem in accounting for foreign-currency hedges. This is accomplished by an examination of the Financial Accounting Standards Board (FASB) Statement of Financial Accounting Standards (SFAS) No. 133, Accounting for Derivatives Instruments and Hedging Activities, as issued in June 1998. Multi-currency accounting is recommended as an alternative to functional-currency accounting. The information generated by the multi-currency versus the functional currency (as advocated in the SFAS 133) accounting methods for using options as hedging instruments is illustrated. Multi-currency accounting excels in its transparency. It more clearly provides information on the respective exposure positions of the hedged items and the hedging instruments as well as the notional amounts. Auditors' risk assessment and analysis can now be effectively performed under this system.
Disponible en:
http://www.emeraldinsight.com/journals.htm?articleid=868466&show=abstract
CÓDIGO BIF - 003
Kapitsinas, S. (2008). The Impact of Derivatives Usage on Firm Value: Evidence from Greece. Unpublished paper. MPRA paper Nº 10947. Disponible en http://mpra.ub.uni-muenchen.de/10947/
This paper presents evidence on the use of derivative contracts in the risk management process of Greek non-financial firms and its potential impact on firm value. The sample of the research consists of 81 Greek non-financial firms with exposure to financial risks that are listed in the Athens Stock Exchange and have their annual report published according to the International Financial Reporting Standards (I.F.R.S) for the years 2004-2006. The subject of investigation is whether hedging with derivatives materially increases firm value as many related research has proven, or whether hedging does not affect firm value and can be attributed to managerial or other motives. Having used Tobins Q as a proxy for firm value a positive and significant effect of hedging on it is verified, 4.6% of firm value on average, not only concerning the general use of derivatives, but also the use of foreign Exchange derivatives and interest rate derivatives in particular. Controlling for managerial motives does not change the sign of the hedging premium, nor its magnitude.
Disponible en:
http://mpra.ub.uni-muenchen.de/10947/
CÓDIGO BIF - 004
Landsman, W. (2005). Fair value accounting for financial instruments: some implications for bank regulation. Workshop on Accounting Risk Management and Prudential Regulation, Bank of International Settlement (BIS), Basel, Switzerland, 11–12 November 2005.
Abstract
I identify issues that bank regulators need to consider if fair value accounting is used for determining bank regulatory capital and when making regulatory decisions. In financial reporting, US and international accounting standard setters have issued several disclosure and measurement and recognition standards for financial instruments and all indications are that both standard setters will mandate recognition of all financial instruments at fair value. To help identify important issues for bank regulators, I briefly review capital market studies that examine the usefulness of fair value accounting to investors, and discuss marking-to-market implementation issues of determining financial instruments’ fair values. In doing so, I identify several key issues. First, regulators need to consider how to let managers reveal private information in their fair value estimates while minimising strategic manipulation of model inputs to manage income and regulatory capital. Second, regulators need to consider how best to minimise measurement error in fair values to maximise their usefulness to investors and creditors when making investment decisions, and to ensure bank managers have incentives to select investments that maximise economic efficiency of the banking system. Third, cross-country institutional differences are likely to play an important role in determining the effectiveness of using mark-to-market accounting for financial reporting and bank regulation.
Disponible en:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=947569
CÓDIGO BIF - 005
Nelson, K. (1996). Fair Value Accounting for Commercial Banks: An Empirical Analysis of SFAS No. 107. The Accounting Review. Volumen 71, No. 2, pp. 161-182.
Abstract
This study evaluates the association between the market value of banks' common equity and fair value estimates disclosed under Statement of Financial Accounting Standards No. 107, "Disclosures about Fair Value of Financial Instruments." The results suggest that only the reported fair values of investment securities have incremental explanatory power relative to book value. No reliable evidence of incremental explanatory power is found for the fair value disclosures of loans, deposits, long-term debt or net off-balance sheet financial instruments. After controlling for two competing indicators of value captured by the accrual accounting system, ROE and growth in book value, the fair value of securities no longer exhibits a significant association with market value. Results from estimating a returns specification, which may implicitly control for correlated omitted variables, also exhibit no reliable evidence of significant incremental explanatory power in the fair value estimates.
Disponible en:
CÓDIGO BIF - 006
Ramirez, J. (2008). Accounting for Derivatives: Advanced Hedging Under IFRS. The Wiley Finance Series.
Abstract
“Accounting for Derivatives: Advanced Hedging Under IFRS” is a comprehensive practical guide to hedge accounting. This book is neither written by auditors afraid of providing opinions on strategies for which accounting rules are not clear, nor by accounting professors lacking practical experience. Instead, it is based on day-to-day experience, advising corporate CFOs and treasurers on sophisticated hedging strategies. It covers the most frequent hedging strategies and addresses the most pressing challenges that corporate executives find today.
The book is case-driven with each case analysing in detail a real-life hedging strategy. A broad range of hedging strategies have been included, some of them using sophisticated derivatives.
The objective of this book is to provide a conceptual framework based on the extensive use of cases so that readers can create their own accounting interpretation of the hedging strategy being considered. Accounting for Derivatives will be essential reading for CFOs, internal auditors and treasurers of corporations, professional accountants as well as derivatives professionals working at commercial and investment banks.
Disponible en:
CÓDIGO BIF - 007
Strouhal, J., y Bonaci, C. (2010). Accounting for Derivatives: Hedging or Trading?. Unpublished paper. Disponible en: http://www.wseas.us/e-library/transactions/economics/2010/89-820.pdf
Abstract
Paper performs an analysis of the Czech and Romanian derivatives market through a deductive approach,starting from the macroeconomic picture of emergent capital markets of Central and Eastern Europe, and then movingto the specific case of Czech Republic and Romania. Findings reveal potential sources of information asymmetrywhich might put the informational advantage in the hands of some parties involved in derivatives trading. The very lowlevel of information reported on derivatives operations might be the signal of an alarming situation concerning thecharacteristics of accounting information that already had its way through the current crisis.
Disponible en:
http://www.wseas.us/e-library/transactions/economics/2010/89-820.pdf
CÓDIGO BIF - 008
Lopes, P. y Lima, L. (2007). Accounting for financial instruments: An analysis of the determinants of disclosure in the Portuguese stock exchange. The International Journal of Accounting. Volumen 42, pp.25–56.
Abstract
This paper studies the determinants of disclosure level in the accounting for financial instruments of Portuguese listed companies. An index of disclosure based on IAS 32 and IAS 39 requirements is computed for each company. The analysis includes variables that capture intrinsic features of Portuguese companies and institutional regulatory context, such as capital structure and characteristics of the corporate governance structure, within contingency theory. We could not find any significant influence of corporate governance structure or of financing structure. We conclude that the disclosure degree is significantly related to size, type of auditor, listing status and economic sector. This research reveals areas for improvement of Portuguese companies' reporting practices and suggests areas for intervention of the Portuguese capital markets regulator in the context of mandatory IAS after 2005.
Disponible en:
http://www.sciencedirect.com/science/article/pii/S002070630600104X