Liquidity Restrictions on Investment Funds: Are they a Response to Behavioral Bias?
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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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FUCAPE Business School
2018-01-01
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| Series: | BBR: Brazilian Business Review |
| Subjects: | |
| Online Access: | http://www.redalyc.org/articulo.oa?id=123056181005 |
| _version_ | 1797250528401424384 |
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| author | Rodrigo Fernandes Malaquias Gleison de Abreu Pontes |
| author_facet | Rodrigo Fernandes Malaquias Gleison de Abreu Pontes |
| author_sort | Rodrigo Fernandes Malaquias |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-07T20:26:50Z |
| format | Article |
| id | doaj.art-e7e0cdfe545b4a25972ac0f83adf9172 |
| institution | Directory Open Access Journal |
| issn | 1807-734X |
| language | English |
| last_indexed | 2024-04-24T20:47:49Z |
| publishDate | 2018-01-01 |
| publisher | FUCAPE Business School |
| record_format | Article |
| series | BBR: Brazilian Business Review |
| spelling | doaj.art-e7e0cdfe545b4a25972ac0f83adf91722024-03-21T19:30:19ZengFUCAPE Business SchoolBBR: Brazilian Business Review1807-734X2018-01-0115438239010.15728/bbr.2018.15.4.5Liquidity Restrictions on Investment Funds: Are they a Response to Behavioral Bias?Rodrigo Fernandes MalaquiasGleison de Abreu PontesLiquidity 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.http://www.redalyc.org/articulo.oa?id=123056181005multimarket fundsmarket efficiencymarket anomalies |
| spellingShingle | Rodrigo Fernandes Malaquias Gleison de Abreu Pontes Liquidity Restrictions on Investment Funds: Are they a Response to Behavioral Bias? BBR: Brazilian Business Review multimarket funds market efficiency market anomalies |
| title | Liquidity Restrictions on Investment Funds: Are they a Response to Behavioral Bias? |
| title_full | Liquidity Restrictions on Investment Funds: Are they a Response to Behavioral Bias? |
| title_fullStr | Liquidity Restrictions on Investment Funds: Are they a Response to Behavioral Bias? |
| title_full_unstemmed | Liquidity Restrictions on Investment Funds: Are they a Response to Behavioral Bias? |
| title_short | Liquidity Restrictions on Investment Funds: Are they a Response to Behavioral Bias? |
| title_sort | liquidity restrictions on investment funds are they a response to behavioral bias |
| topic | multimarket funds market efficiency market anomalies |
| url | http://www.redalyc.org/articulo.oa?id=123056181005 |
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