Analisi di sensitività al tasso di cambio: un’informazione utile per gli investitori? (Informativeness of IFRS 7 sensitivity analysis disclosure on currency risk)

Anteprima

Il lavoro analizza gli effetti dell’entrata in vigore dell’IFRS 7, emanato dallo IASB con lo scopo di aumentare l’informazione sull’esposizione delle imprese ai rischi di mercato. La nostra ricerca indaga l’utilità per gli investitori dell’analisi di sensitività al rischio di tasso di cambio fornita dalle società quotate italiane. I risultati mostrano che prima dell’introduzione dell’IFRS 7 il mercato stimava erroneamente l’esposizione al tasso di cambio, mentre successivamente la sensitività dei rendimenti al tasso di cambio sembra allinearsi con le esposizioni dichiarate. Dall’analisi, inoltre, emerge che l’informazione sull’esposizione riduce la sensitività dei volumi al tasso di cambio. I nostri risultati integrano la letteratura statunitense fornendo evidenze di come un’analisi di sensitività anche backward-looking sia utile al mercato.

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Using Italian data, we study the usefulness for investors of the sensitivity analysis disclosures on currency risk mandated by IFRS 7. We hypothesize that the new quantitative disclosures affect both stock returns and trading volume sensitivity to exchange rate changes. Our results show that, before the adoption of IFRS 7, investors wrongly assessed firms’ exposures to currency risk, whereas after the release of the new disclosures the market reaction to exchange rate changes seems to align with the quantitative information provided by firms. Moreover, we find that the IFRS 7 disclosures reduce the trading volume sensitivity to exchange rate changes. Overall, our findings integrate the US literature on the informativeness of quantitative disclosures on market risk and suggest that also a backward-looking disclosure is useful for investors.

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Keywords: IFRS 7, rischio di tasso di cambio, rischio di mercato, analisi di sensitività, disclosure

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