Utilização do hedge accounting diante do risco idiossincrático: aplicação nos países pertencente ao BRICS

Abstract

The objective of this research is to investigate the influence of the use of Hedge Accounting on the idiosyncratic risk of companies belonging to the BRICS, analyzing the period from 2018 to 2022, based on Agency Theory, Information Asymmetry and Signaling Theory. A multiple linear regression using the ordinary least squares method with panel data was used as a methodology. To measure the dependent variable called idiosyncratic risk, the three-factor estimation model by Fama and French (1993) was used. The independent variable of interest Hedge Accounting, the criterion used was the disclosure of the use of this accounting methodology in the explanatory notes of the companies included in the research and Hedge variables with value and without value from the Refinitiv base, assuming a value of 0 or 1 in the model. Additionally, control variables suggested in the literature were used, such as size, debt, current liquidity and distribution of dividends per share. The data was obtained from the Refinitiv platform. As a result, there was a significant and negative relationship between the adoption of Hedge Accounting and idiosyncratic risk, as expected. The results indicate that financial variables impact portfolio returns in BRICS countries in different ways, reflecting the different economic conditions and market structures of each country. Strategies that work well in one context may not be as effective in another, highlighting the importance of a contextualized analysis adapted to the specific characteristics of each market. Portfolio management in emerging markets requires a deep understanding of the variables that influence returns in each country, allowing for a more strategic allocation of resources adjusted to local conditions. From the results, it is concluded that the use of Hedge Accounting reduces idiosyncratic risk, presenting marked differences between the BRICS countries. While Brazil, Russia and India show a significant reduction in this risk with the use of the practice, China and South Africa did not demonstrate a statistically relevant impact, suggesting specific challenges in implementing Hedge Accounting in these economies.