SciELO - Scientific Electronic Library Online

 
vol.15 issue4The Perception of Auditors in the Measurement of Instruments Financial Institutions at Fair Value in Financial InstitutionsInterdependence and asymmetries: Latin American ADRs and developed markets author indexsubject indexarticles search
Home Pagealphabetic serial listing  

Services on Demand

Journal

Article

Indicators

Related links

Share


BBR. Brazilian Business Review

On-line version ISSN 1808-2386

Abstract

MALAQUIAS, Rodrigo Fernandes  and  PONTES, Gleison de Abreu. Liquidity Restrictions on Investment Funds: Are they a Response to Behavioral Bias?. BBR, Braz. Bus. Rev. [online]. 2018, vol.15, n.4, pp.382-390. ISSN 1808-2386.  http://dx.doi.org/10.15728/bbr.2018.15.4.5.

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.

Keywords : Multimarket Funds; Market Efficiency; Market Anomalies.

        · abstract in Portuguese     · text in English | Portuguese     · English ( pdf ) | Portuguese ( pdf )