Hedge and speculation with currency derivatives: evidence of everyday operations/Hedge e especulacao com derivativos cambiais: evidencias de operacoes cotidianas

This study investigates the dynamics of currency derivatives usage by Brazilian non-financial firms, using a unique database of over-the-counter operations contracted between these companies and a large international bank between 2003 and 2008. Although prior studies using Brazilian (Novaes & Oliveira, 2005; Rossi, 2011) and US (Geczy, Milton, & Schrand, 2007) firms point to the existence of speculative behavior in managers' decisions, the effective impact of this behavior on the companies' operations is still little known, as are its implications for financial risk management and corporate governance. Our methodology compares the returns of derivatives contracts that were settled at their originally contracted maturity, with the return of contracts whose settlement was anticipated by the firm. We find evidence that routine decisions to commit to and unwind derivatives positions were influenced by speculative behavior in the period 2003-2008. However, during the period 2009-2011, we find no evidence of speculation, in line with the results of Coutinho, Sheng and Lora (2012). Our results reinforce the evidence that massive losses caused by currency derivatives in late 2008 worked as a wake-up call for managers, boards, investors and regulators, who started monitoring derivatives operations more closely. Key words: risk management; hedge; speculation; derivatives; foreign exchange risk. Este trabalho investiga a dinamica no uso de derivativos de moedas por parte de empresas nao financeiras brasileiras a partir de um banco de dados unico, que contem 29 mil operacoes de balcao efetivamente contratadas por essas empresas junto a um grande banco internacional, entre 2003 e 2011. Embora pesquisas no Brasil (Novaes & Oliveira, 2005; Rossi, 2011) e nos EUA (Geczy, Milton, & Schrand, 2007) apontem para a existencia de uma conduta especulativa nas decisoes dos gestores, o efetivo impacto desse tipo de comportamento nas decisoes da empresa ainda e pouco conhecido, bem como suas implicacoes para a gestao financeira de riscos e a governanca corporativa. Nossa metodologia compara os retornos de contratos que foram mantidos ate o vencimento, com os de contratos cuja liquidacao foi antecipada pelas empresas. Os resultados mostram que, no periodo de 2003 a 2008, houve um forte componente especulativo nas decisoes cotidianas de tomada e desmonte de posicoes com derivativos cambiais das empresas. Ja no periodo de 2009 a 2011, nao se identifica tal comportamento especulativo,