Abstract In this paper, I analyze the consequences of cash flow hedge accounting on portfolio earnings of firms focusing on main changes between IFRS 9 and IAS 39. For this purpose, I develop 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, I examine to which firms early switching becomes especially desirable or burdensome. This information is particularly useful to managers and investors. The paper shows that portfolio earnings are affected differently. In the model, IAS 39 may lead to higher or lower earnings for increasing deviations between foreign and domestic interest rates. 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.

中文翻译：

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对冲会计及其对投资组合收益的影响–模拟研究

摘要本文以IFRS 9和IAS 39之间的主要变化为基础，分析了现金流量套期会计对企业投资组合收益的影响。为此，我进行了一项模拟研究，该模拟研究说明了根据会计准则对会计分录的量化影响。当前适用的套期会计方法。特别要解决哪些会计差异会产生以及这些差异如何影响公司的收益。此外，我研究了对哪些公司进行早期转换尤为可取或非常麻烦。此信息对经理和投资者特别有用。本文表明，投资组合收益受到不同的影响。在该模型中，IAS 39可能会因国内外利率之间的偏差增加而导致收益增加或减少。另外，不同方法对波动率变化的敏感性不同。此外，与完全有效的对冲关系相比，部分无效的对冲关系并不一定会减少收益。