套期保值的有效性及其评价被引量：8

The effectiveness and its evaluation of hedging

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摘要目前,我国依据"套期保值原则"和套期会计中"高度有效性"来界定套期保值与投机的方法极大地限制了套期保值业务的开展。同时,单独以期货头寸的损益作为企业问责的标准可能会诱发期货的投机交易。经济理论和会计准则依据不同的目标建立了各自的套期保值有效性评价体系,其目的并不在于抑制投机。本文寻求建立以期货市场加权均价为基准的有效性评价体系来评价套期保值交易,不仅避免了对套期保值"定性",而且能够达到抑制投机的目的。 In China, the frame of reference for distinguishing hedge and speculation is based on the so-called ＂Hedge Principle＂ and the ＂highly effective＂ criteria defined in hedge accounting. This method constrains the strategies of hedge. Moreover, the current accountability system judging profit and loss alone for derivatives investments may induce speculative futures trading. The system of hedge efficiency valuation in economics and accounting established are based on different purpose, and neither of them is for limiting speculation. In order to limit speculating on derivatives, we suggest a new effectiveness valuation system, which comparing fair value of hedged portfolio with weighted average futures price. This system also avoids the intractable issue of defining hedge.

作者朱国华方毅

机构地区上海财经大学国际工商管理学院

出处《证券市场导报》 CSSCI 北大核心 2010年第11期55-60,共6页 Securities Market Herald

关键词有效性套期会计套期保值原则加权均价 effectiveness hedge accounting hedge principle weighted average price

分类号 F830.59 [经济管理—金融学]

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参考文献15

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二级参考文献17

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