Cash flow hedge derivatives are an example of an economic transaction that is not fully portrayed in the financial statements in two key ways. First, while changes in the fair value of the derivative are recorded at each reporting date, changes in the value of the underlying purchase or sale commitment are not recorded or disclosed until that transaction occurs. Therefore, until the purchase or sale occurs, the financial statements only portray half of the economic transaction. Second, the gains/losses associated with these derivatives provide an inverse signal about the persistence of firm profitability. We document a method by which financial statement users can partially adjust for these distortions and find evidence that debt investors incorporate information conveyed by cash flow hedge gains/losses into their pricing of new debt issuances. We also find evidence that credit analysts incorporate these adjustments into their firm-level credit ratings but are unable to find consistent evidence of similar adjustments to credit ratings on new debt issuances. Overall, our results suggest that a subset of sophisticated investors (i.e., those in public debt markets) appear to incorporate information from cash flow hedge accounting into their assessments of firm risk, and that users may benefit from enhanced disclosure about the amount and timing of a firm's future transactions that are exposed to foreign currency, interest rate, or commodity price risk as well as the amount and timing of derivatives that protect the firm from those risks.

中文翻译：

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当财务报表未能反映经济实质时，债务投资者是否会调整财务报表比率？来自现金流量对冲的证据*†

现金流量对冲衍生工具是一个经济交易的例子，它没有在财务报表中以两个关键方式完全描述。首先，虽然衍生工具的公允价值变动在每个报告日记录，但相关购买或销售承诺的价值变动在该交易发生之前不会记录或披露。因此，在发生购买或出售之前，财务报表只描述了经济交易的一半。其次，与这些衍生品相关的收益/损失提供了关于公司盈利能力持久性的反向信号。我们记录了一种方法，财务报表使用者可以通过这种方法对这些扭曲进行部分调整，并找到证据表明债务投资者将现金流量对冲收益/损失传达的信息纳入他们对新债务发行的定价中。我们还发现有证据表明信用分析师将这些调整纳入其公司级别的信用评级，但无法找到一致的证据表明对新债券发行的信用评级进行了类似调整。总体而言，我们的结果表明，一部分老练投资者（即公共债务市场的投资者）似乎将现金流量对冲会计的信息纳入他们对公司风险的评估中，并且用户可能会从关于公司未来面临外币、利率或商品价格风险的交易，以及保护公司免受这些风险的衍生工具的数量和时间。