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BBR. Brazilian Business Review

On-line version ISSN 1808-2386


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.

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.

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