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...

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Autores principales:	Rodrigo Fernandes Malaquias, Gleison de Abreu Pontes
Formato:	article
Lenguaje:	EN PT
Publicado:	FUCAPE Business School 2018
Materias:	multimarket funds market efficiency market anomalies Business HF5001-6182
Acceso en línea:	https://doaj.org/article/e7e0cdfe545b4a25972ac0f83adf9172
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spelling	oai:doaj.org-article:e7e0cdfe545b4a25972ac0f83adf91722021-11-11T15:48:07ZLiquidity Restrictions on Investment Funds: Are they a Response to Behavioral Bias?1807-734X10.15728/bbr.2018.15.4.5https://doaj.org/article/e7e0cdfe545b4a25972ac0f83adf91722018-01-01T00:00:00Zhttp://www.redalyc.org/articulo.oa?id=123056181005https://doaj.org/toc/1807-734XLiquidity 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.Rodrigo Fernandes MalaquiasGleison de Abreu PontesFUCAPE Business Schoolarticlemultimarket fundsmarket efficiencymarket anomaliesBusinessHF5001-6182ENPTBBR: Brazilian Business Review, Vol 15, Iss 4, Pp 382-390 (2018)
institution	DOAJ
collection	DOAJ
language	EN PT
topic	multimarket funds market efficiency market anomalies Business HF5001-6182
spellingShingle	multimarket funds market efficiency market anomalies Business HF5001-6182 Rodrigo Fernandes Malaquias Gleison de Abreu Pontes Liquidity Restrictions on Investment Funds: Are they a Response to Behavioral Bias?
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.
format	article
author	Rodrigo Fernandes Malaquias Gleison de Abreu Pontes
author_facet	Rodrigo Fernandes Malaquias Gleison de Abreu Pontes
author_sort	Rodrigo Fernandes Malaquias
title	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_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_sort	liquidity restrictions on investment funds: are they a response to behavioral bias?
publisher	FUCAPE Business School
publishDate	2018
url	https://doaj.org/article/e7e0cdfe545b4a25972ac0f83adf9172
work_keys_str_mv	AT rodrigofernandesmalaquias liquidityrestrictionsoninvestmentfundsaretheyaresponsetobehavioralbias AT gleisondeabreupontes liquidityrestrictionsoninvestmentfundsaretheyaresponsetobehavioralbias
_version_	1718433929182052352

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

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