ISSN 1808-2386    QUALIS A2
 
:
:
:
 
 
:
:
 
   
AHEAD OF PRINT

Download

Liquidity Restrictions on Investment Funds: Are they a Response to Behavioral Bias?

Rodrigo Fernandes Malaquias, Gleison de Abreu Pontes


Liquidity constraints imposed to shareholders of investment funds, also known as lock-up periods, represent an alternative that managers can use to implement and maintain long-term strategies. The academic literature suggests that, as a result of liquidity constraints, funds should deliver a premium to their shareholders, and previous studies have documented this effect. Based on this context, in this paper we analyze the effect of lock-up periods on the profitability of Brazilian multimarket funds. We used a sample composed by 4,662 multimarket funds in the period from January 2009 to February 2016. The results showed a positive effect of lock-up periods on the average profitability of the funds, as well as on their risk-adjusted return. Our discussion highlights arguments that some measures taken by fund managers to protect their strategies against impulsive behaviors of funds’ investors can present a positive effect on the performance of their funds. 

 


Multimarket Funds; Market Efficiency; Market Anomalies.


Rodrigo Fernandes Malaquias, Gleison de Abreu Pontes

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.


This journal is a member of, and subscribes to the principles of, the Committee on Publication Ethics (COPE)

2004 - 2018 © Brazilian Business Review.