Thesis (Ph. D.)--University of Texas at Austin, 2006. / Vita. Includes bibliographical references.

A publicação do Pronunciamento FAS 133 – Accounting for Derivative Instruments and Hedging Activities - pelo FASB (Financial Accounting Standards Board) trouxe em seu bojo uma questão teórica: saber se a estrutura conceitual da contabilidade recepciona o modelo de hedge accounting proposto. Hedge accounting refere-se a um tratamento contábil especial baseado no princípio da confrontação das despesas (matching principle), sob o qual ganhos e perdas de itens relacionados devem ser reconhecidos no mesmo período, isto é, os ganhos ou perdas das posições protetoras devem ser reconhecidos no mesmo período que as perdas ou ganhos no item protegido. O reconhecimento da receita pressupõe, usualmente, três condições: a existência de uma transação; a capacidade de se mensurar o valor dos ativos envolvidos e a conclusão do processo de ganho. À primeira condição tem sido dada menos importância no que concerne a certos instrumentos financeiros. Passam a ser mais importantes a verificabilidade do valor mensurado e a liquidez do item financeiro, que permitem assegurar que a transação, mesmo não tendo sido efetuada, poderia ter sido feita no momento do reconhecimento e com o valor com que foi reconhecido. As regras definidas pelo SFAS 133 para as diversas modalidades de proteção não afrontam os princípios de reconhecimento de receitas e de confrontação de despesas, uma vez que exigem que os ganhos e perdas gerados pelo instrumento protetor sejam registrados imediatamente em resultado, juntamente com as perdas ou ganhos do instrumento protegido, ou permitem um diferimento dos ganhos ou perdas em conta de patrimônio líquido (other comprehensive income) até que o fluxo de caixa ou transação prevista se concretize. O reconhecimento de variações no valor justo de itens protegidos sem que haja uma transação interna ou externa, não significa um confronto com o princípio da realização, mas apenas uma leitura mais flexível de seus cânones, adaptado a uma nova realidade onde a verificabilidade e liquidez dos preços conferem objetividade à mensuração e ao reconhecimento.

Este trabalho tem como analisa principal a estratégia de hedge para o exportador de café nas principais regiões brasileiras, utilizando o modelo tradicional de hedge de variância mínima para a receita. São propostas quatro estratégias: sem hedge, hedge de preço do café, hedge de câmbio e hedge simultâneo de preço do café e câmbio. Chega-se à conclusão que a estratégia de hedge simultâneo de preços e câmbio é mais efetiva em diminuir a variância da receita do produtor em relação a outras estratégias analisadas. A redução do risco de taxa de câmbio, em conjunto com o risco de preços é importante para a gestão estratégica dos exportadores de commodities. / This thesis aims to analyze the hedging strategies for coffee export in the main Brazilian regions, using the traditional model of minimum variance hedge. In this way, four hedging strategies were proposed: no hedge, hedge coffee prices, exchange hedge and hedge simultaneous coffee prices and exchange rates. The result show that the hedging strategy of simultaneous price and exchange is more effective in reducing the variance of revenue producer comparing with other strategies analyzed. Reducing the risk of exchange rate, together with the price risk is important for the strategic management of commodity exporters.

A dissertação teve por objetivo analisar qual a opção de hedge era mais eficiente para os integrantes do Sistema Agroindustrial do Algodão, se era o contrato de algodão em pluma da Bolsa de Mercadorias & Futuros (BM&F) ou o da New York Board of Trade (NYBOT). A escolha pela cadeia do algodão deveu-se ao fato deste setor ter passado na década de 1990 por substâncias mudanças que resultaram num sistema competitivo, tanto ao nível agrícola quanto industrial. Além da reestruturação do setor a década de 1990 trouxe consigo algumas outras mudanças, como o início do processo de desregulamentação governamental do setor agrícola, fazendo com os produtores passem a buscar instrumentos alternativos de gerenciamento de riscos que independam da participação do Estado. Outra mudança foi a permissão ao investidor estrangeiro para operar nos mercados futuros agropecuários brasileiros. Com este novo cenário poderia se esperar que estivessem criadas as bases para o desenvolvimento pleno do contrato futuro de algodão. O instrumento de proteção natural para os agentes nacionais é o da BM&F, pois se acredita que a utilização do contrato futuro de algodão da NYBOT não seja eficiente para estes agentes, devido às políticas de subsídios norte-americanas à produção e aos períodos distintos de safra e entressafra dos dois países. As hipóteses anteriores foram comprovadas e verificou-se que durante o período analisado o contrato de algodão da BM&F foi eficiente para o"hedger"nacional, no sentido que permitiu previsões não viesadas quanto ao futuro preço à vista no vencimento do contrato. Também conclui-se que a opção norte-americana por"hedge"é arriscada para os agentes nacionais, sejam eles indústria ou produtor. No que diz respeito ao fato do instrumento BM&F não estar sendo utilizado pelos agentes nacionais, a dissertação levantou algumas hipóteses. Dentre as quais estão a intervenção governamental no mercado de algodão, e o (continuação) processo de integração verificado na cadeia como resultado da abertura econômica na década de 1990. Além do problema de capitalização encontrado por algumas empresas e produtores a fim de fazer frente ao pagamento de possíveis ajustes diários negativos no decorrer da operação de"hedging" / not available

The hedge fund industry in South Africa is currently unregulated, which is generally considered a hindrance by hedge fund managers. Some fund managers are under the impression that regulation will bring more credibility to the industry and, in turn, increase investment into this sector. The feeling is that many investors shy away from this unregulated market as there are no procedures in place to ensure that their funds will be properly managed and that, currently, investors have no recourse should the investment be mismanaged.How one applies the regulation will have profound implications. Due to their global nature, the impact of regulations with regards to both local and foreign hedge funds also needs to be addressed. The implication of regulating the industry needs to be addressed from all aspects, including, for example, cost and industry agility.Although the South African government has been threatening to regulate the industry since 2001, it has yet to do so. Recently, there has been renewed hope that the government will introduce regulations to the industry; however, some fund managers are skeptical. / Dissertation (MBA)--University of Pretoria, 2010. / Gordon Institute of Business Science (GIBS) / unrestricted

<p.This study explores the extent and benefit of corporate hedging in South Africa by examining the disclosure of financial derivative instruments in the annual reports of non-financial companies listed on the JSE. The conflicting academic theory on hedging and the shortage of empirical evidence to support corporate hedging provide decision-makers, especially in South Africa, with poor information on the impact of hedging on the market value of their companies and, therefore, the total return provided to their shareholders. A database of derivative usage was constructed from the annual reports of all non-financial JSE-listed companies. The data was used to quantify the extent of derivative usage in South African and to construct the portfolios necessary to calculate the risk factors for the regression model. The Fama and French four-factor model was used as the basis for the regression analysis necessary to show whether or not hedging has a positive impact on annual stock price performance. The results show that hedging is prevalent in South Africa. However, the results provide evidence that corporate hedging through the use of derivative instruments is only a value-adding strategy for firms that exclusively use currency derivatives. The use of commodity or interest rate derivatives is not a value-adding strategy, nor is the use of currency derivatives in conjunction with commodity or interest rate derivatives. / Dissertation (MBA)--University of Pretoria, 2010. / Gordon Institute of Business Science (GIBS) / unrestricted

Alternative investments are a new but fast growing phenomenon in the South African market, hedge funds in particular were introduces to our market in the year 2000. Assets under management by hedge funds have enjoyed fast growth over the years relative to assets managed by mutual funds. Including hedge funds in an investment portfolio represents a unique proven opportunity for pension funds to protect their investments during bear markets. Unfortunately only a limited number of investors outside the industry understand what factors drive returns in hedge fund strategies. The hedge fund industry is still a mystery to many investors who as a result have not been able to take advantage of absolute returns generated through investing in hedge funds. This quantitative research aimed to determine which dominant factors drive strategy aggregate returns in the Hedge Fund Industry through correlation. It also aimed to analyse regression of these factors to returns on different strategies as well as among themselves. Lastly to develop models of hedge fund aggregate returns by equity strategy using the Arbitrage Pricing Theory (APT) model. Results of the research show that the Mid Cap index is the primary driver of equity strategies selected in this research. The Long Short interest rates as the secondary driver, the Long Bias has the small cap index and global markets as the secondary driver, for the Market Neutral strategy has a short position in small caps as its secondary performance and resource indices are the secondary performance drivers for the Global Macro strategy. / Dissertation (MBA)--University of Pretoria, 2010. / Gordon Institute of Business Science (GIBS) / unrestricted

As a nation, Canada has claimed global success in financial services in many ways. However, the scale of the Canadian hedge fund industry is incomparable to that of London and New York. Although it only holds 1.5% of global hedge fund assets, the Canadian hedge fund industry has the ingredients to become a leader among its peers. During the past ten years, several external factors (including changes in technology, the 2008 economic crash, and trends in outsourcing) have had an effect on financial services worldwide, but there are also internal factors specific to Canada that have directly contributed to the industry’s lack of scale. The thesis uses cluster concepts to gain an in-depth understanding of these patterns and identify the causes for the Canadian hedge fund industry’s lack of scale. However, cluster concepts are only useful to a limited extent in explaining the emergence, sustenance, and decline of financial services clusters. Historically, cluster concepts as explored by Marshall (1890), Porter (1990), and Piore and Sabel (1984) have been used to explain the successes and failures of manufacturing industry clusters, but these theories have been infrequently used to explain financial services industries. The dispersion of clusters due to globalization, advancements in technology, and deglomeration has made it even more challenging to identify, measure, and evaluate cluster behaviour in general, but especially in the financial services industry. Therefore, in addition to traditional cluster theories, this thesis seeks to evaluate the dynamics of the Canadian hedge fund cluster using newer theories such as New Economic Geography and the concepts of dispersion and deglomeration in order to explain Canadian hedge funds’ lack of scale. The thesis explores the main ingredients for cluster formation and growth, as well as the opposing arguments of cluster dispersal. A mixed-methods approach was used, employing semi-structured interviews and secondary analysis. Endogenous causes specific to Canada were isolated and investigated through data analysis. Throughout this study, the task of cluster facilitation was explored in order to identify the key role that each individual participant plays within the Canadian hedge fund industry. The present research is the first of its kind, and could open up possibilities for further study. The core of future research could be focused on the cluster measurement and identification of cluster borders. Another research stream could attempt to deepen understanding of the feasibility of each recommendation listed in this research. This could involve more detailed, exploratory quantitative and qualitative work that could quantify the cost and benefits of promoting hedge funds in Canada.

Syftet med studien är att undersöka bitcoins kapacitet som hedge gentemot den svenska aktiemarknaden. För att identifiera om korrelation existerar mellan avkastningen i bitcoin och SIX30RX (OMXS30 med utdelning) och således besvara forskningsfrågan studeras associationen. Tidsperioden som studeras är 2012-01-02 till 2016-10-21. Associationen undersöks med hjälp av regressionsmodeller. Resultatet visar att bitcoin inte är korrelerat med avkastningen för SIX30RX under den studerade tidsperioden. Bitcoin kan således klassificeras som en hedge gentemot den svenska aktiemarknaden. / This paper examines bitcoin’s capacity as a hedge towards the Swedish stock market. To identify if correlation exists between the returns of bitcoin and SIX30RX (OMXS 30 including dividends) and thus respond to the research question the association is investigated. The time period considered is 2012-01-02 to 2016-10-21. Association is analysed using regression models. The results demonstrate that bitcoin is uncorrelated with the return for SIX30RX during this time period. Therefore, bitcoin can be classified as a hedge against the Swedish stock market.

Neste trabalho analisamos a eficácia das operações de hedge cambial de uma amostra de companhias abertas, não-financeiras, com ações negociadas na BM&FBOVESPA. A amostra selecionada consiste em nove empresas, que foram selecionadas como aquelas possuindo o maior valor de mercado médio, durante o período analisado, que consiste nos exercícios de 2005 a 2009, dentro de cada um dos setores existentes na classificação setorial da BM&FBOVESPA, excluindo o setor financeiro. A eficácia das operações de hedge das companhias selecionadas foi avaliada usando-se os dados divulgados nas demonstrações financeiras, através de três metodologias distintas de avaliação de eficácia de operações de hedge. A determinação de hedges altamente eficazes foi realizada fazendo uso da métrica proposta pelo FASB, onde um hedge é considerado altamente eficaz quando este proporciona uma cobertura entre 80% e 125%, na exposição ao risco, decorrente da variação no fator identificado de risco, que neste caso foi a variação cambial. Os resultados obtidos apontam para uma grande variabilidade da eficácia das operações de hedge, tanto entre as companhias estudadas, quanto entre as diferentes metodologias de avaliação utilizada. Os resultados também mostram a necessidade da divulgação de informações contábeis mais precisas e abrangentes no que se refere às operações de hedge cambial. / In this work we analyze the effectiveness of foreign currency hedge operations in a sample of public traded, non-financial companies, with stocks traded on the Sao Paulo Stock Exchange (BM&FBOVESPA). The selected sample is made of nine companies with highest mean market value, during the analyzed period, which consists of the exercises between 2005 and 2009, inside all sectors present in the BM&FBOVESPA sector classification, excluding the financial sector. The effectiveness of hedge operations was measured using three different hedge effectiveness measurement methodologies. The determination of highly effective hedge was based on the scale proposed by FASB, where a hedge is considered highly effective when it provides an offset between 80% and 125%, in the risk exposure due to the variation in the identified risk factor, which in this case, was the foreign exchange risk. The results obtained point to a great variability in the measured hedge effectiveness, among companies, as well as among the different used methodologies. The results also point to the necessity of more precise and comprehensive accounting disclosures regarding foreign exchange hedge operations.