Períodos de lockup durante períodos de lockdown no contexto de fundos brasileiros
Autor(a) principal: | |
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Data de Publicação: | 2023 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng por |
Título da fonte: | Revista Contabilidade & Finanças (Online) |
Texto Completo: | https://www.revistas.usp.br/rcf/article/view/212521 |
Resumo: | This article aimed to test the effect of lockup periods on the performance of Brazilian equity funds and multimarket funds, considering the period affected by the 2019 coronavirus disease (COVID-19). This study contributes to better understanding the effects of redemption restrictions imposed on quotaholders, a relevant subject considering the increase in the number of funds in Brazil. This effect is analyzed with particular focus on the period affected by the COVID-19 pandemic. The results of this study have implications for individual and professional investors and may also interest large families of Brazilian funds, given that the establishment of lockup periods forms part of a long-term decision. The research has the potential to impact planning in the fund industry, the financial planning of small and large investors, as well as the literature on the subject, motivating the undertaking of new research. The sample was composed of 17,417 Brazilian funds, 13,581 of which were multimarket funds and 3,836 were equity funds, covering the period from January of 2018 to December of 2021. Various subsamples were evaluated for robustness purposes. The hypotheses were tested using a difference-in-difference model operationalized through a panel. Fund performance was estimated every quarter based on the four-factor alpha. The main results of the study reveal that lockup periods were positively associated with fund performance. On the other hand, during the period negatively affected by COVID-19, funds with greater lockup periods did not record better performance than the other funds (considering in the comparison the performance of groups with a shorter lockup and that of the funds before the pandemic), a result that may advance the discussion on the effects of redemption restrictions. |
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Períodos de lockup durante períodos de lockdown no contexto de fundos brasileirosLockup periods during lockdown periods in the context of Brazilian fundsinvestment fundslockupfour-factor alphaCOVID-19 pandemiceconomic stressfundos de investimentoslockupalfa de 4 fatorespandemia covid-19estresse econômicoThis article aimed to test the effect of lockup periods on the performance of Brazilian equity funds and multimarket funds, considering the period affected by the 2019 coronavirus disease (COVID-19). This study contributes to better understanding the effects of redemption restrictions imposed on quotaholders, a relevant subject considering the increase in the number of funds in Brazil. This effect is analyzed with particular focus on the period affected by the COVID-19 pandemic. The results of this study have implications for individual and professional investors and may also interest large families of Brazilian funds, given that the establishment of lockup periods forms part of a long-term decision. The research has the potential to impact planning in the fund industry, the financial planning of small and large investors, as well as the literature on the subject, motivating the undertaking of new research. The sample was composed of 17,417 Brazilian funds, 13,581 of which were multimarket funds and 3,836 were equity funds, covering the period from January of 2018 to December of 2021. Various subsamples were evaluated for robustness purposes. The hypotheses were tested using a difference-in-difference model operationalized through a panel. Fund performance was estimated every quarter based on the four-factor alpha. The main results of the study reveal that lockup periods were positively associated with fund performance. On the other hand, during the period negatively affected by COVID-19, funds with greater lockup periods did not record better performance than the other funds (considering in the comparison the performance of groups with a shorter lockup and that of the funds before the pandemic), a result that may advance the discussion on the effects of redemption restrictions.Este artigo teve por objetivo testar o efeito dos períodos de lockup na performance de fundos de ações e de fundos multimercados brasileiros, considerando-se o período afetado pela doença do coronavírus 2019 (covid-19). Esta pesquisa contribui para o melhor entendimento sobre os efeitos de restrições de resgate impostas aos cotistas, assunto que se mostra relevante ao considerarmos o aumento no número de fundos no Brasil. Esse efeito é analisado com particular atenção ao período afetado pela pandemia da covid-19. Os resultados desta pesquisa têm implicações para investidores individuais e profissionais, podendo despertar também o interesse de grandes famílias de fundos brasileiras, tendo em vista que o estabelecimento de períodos de lockup faz parte de uma decisão de longo prazo. A pesquisa tem o potencial de impactar o planejamento na indústria de fundos, o planejamento financeiro de pequenos e grandes investidores e também a literatura sobre o assunto, motivando a realização de novas pesquisas. A amostra foi composta por 17.417 fundos brasileiros, sendo 13.581 fundos multimercados e 3.836 fundos de ações, considerando o período de janeiro/2018 a dezembro/2021. Várias subamostras foram avaliadas para fins de robustez. As hipóteses foram testadas com o uso de um modelo de diferença-em-diferença operacionalizado por meio de um painel. A performance dos fundos foi estimada a cada trimestre com base no alfa de 4 fatores. Os principais resultados do estudo revelam que períodos de lockup mostraram-se positivamente associados com a performance dos fundos. Em contrapartida, durante o período negativamente afetado pela covid-19, fundos com maiores períodos de lockup não registraram melhor performance que os demais fundos (considerando-se na comparação a performance de grupos com menor lockup e a performance dos fundos antes da pandemia), resultado que pode avançar a discussão sobre os efeitos das restrições de resgate.Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária2023-06-02info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfapplication/pdftext/xmlhttps://www.revistas.usp.br/rcf/article/view/21252110.1590/1808-057x20221563.enRevista Contabilidade & Finanças; v. 34 n. 91 (2023); e1563Revista Contabilidade & Finanças; Vol. 34 No. 91 (2023); e1563Revista Contabilidade & Finanças; Vol. 34 Núm. 91 (2023); e15631808-057X1519-7077reponame:Revista Contabilidade & Finanças (Online)instname:Universidade de São Paulo (USP)instacron:USPengporhttps://www.revistas.usp.br/rcf/article/view/212521/194583https://www.revistas.usp.br/rcf/article/view/212521/194582https://www.revistas.usp.br/rcf/article/view/212521/194581Copyright (c) 2023 Revista Contabilidade & Finançashttp://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessMalaquias, Rodrigo FernandesHernandes Júnior, Miguel2023-06-02T15:22:49Zoai:revistas.usp.br:article/212521Revistahttp://www.revistas.usp.br/rcf/indexPUBhttps://old.scielo.br/oai/scielo-oai.phprecont@usp.br||recont@usp.br1808-057X1519-7077opendoar:2023-06-02T15:22:49Revista Contabilidade & Finanças (Online) - Universidade de São Paulo (USP)false |
dc.title.none.fl_str_mv |
Períodos de lockup durante períodos de lockdown no contexto de fundos brasileiros Lockup periods during lockdown periods in the context of Brazilian funds |
title |
Períodos de lockup durante períodos de lockdown no contexto de fundos brasileiros |
spellingShingle |
Períodos de lockup durante períodos de lockdown no contexto de fundos brasileiros Malaquias, Rodrigo Fernandes investment funds lockup four-factor alpha COVID-19 pandemic economic stress fundos de investimentos lockup alfa de 4 fatores pandemia covid-19 estresse econômico |
title_short |
Períodos de lockup durante períodos de lockdown no contexto de fundos brasileiros |
title_full |
Períodos de lockup durante períodos de lockdown no contexto de fundos brasileiros |
title_fullStr |
Períodos de lockup durante períodos de lockdown no contexto de fundos brasileiros |
title_full_unstemmed |
Períodos de lockup durante períodos de lockdown no contexto de fundos brasileiros |
title_sort |
Períodos de lockup durante períodos de lockdown no contexto de fundos brasileiros |
author |
Malaquias, Rodrigo Fernandes |
author_facet |
Malaquias, Rodrigo Fernandes Hernandes Júnior, Miguel |
author_role |
author |
author2 |
Hernandes Júnior, Miguel |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Malaquias, Rodrigo Fernandes Hernandes Júnior, Miguel |
dc.subject.por.fl_str_mv |
investment funds lockup four-factor alpha COVID-19 pandemic economic stress fundos de investimentos lockup alfa de 4 fatores pandemia covid-19 estresse econômico |
topic |
investment funds lockup four-factor alpha COVID-19 pandemic economic stress fundos de investimentos lockup alfa de 4 fatores pandemia covid-19 estresse econômico |
description |
This article aimed to test the effect of lockup periods on the performance of Brazilian equity funds and multimarket funds, considering the period affected by the 2019 coronavirus disease (COVID-19). This study contributes to better understanding the effects of redemption restrictions imposed on quotaholders, a relevant subject considering the increase in the number of funds in Brazil. This effect is analyzed with particular focus on the period affected by the COVID-19 pandemic. The results of this study have implications for individual and professional investors and may also interest large families of Brazilian funds, given that the establishment of lockup periods forms part of a long-term decision. The research has the potential to impact planning in the fund industry, the financial planning of small and large investors, as well as the literature on the subject, motivating the undertaking of new research. The sample was composed of 17,417 Brazilian funds, 13,581 of which were multimarket funds and 3,836 were equity funds, covering the period from January of 2018 to December of 2021. Various subsamples were evaluated for robustness purposes. The hypotheses were tested using a difference-in-difference model operationalized through a panel. Fund performance was estimated every quarter based on the four-factor alpha. The main results of the study reveal that lockup periods were positively associated with fund performance. On the other hand, during the period negatively affected by COVID-19, funds with greater lockup periods did not record better performance than the other funds (considering in the comparison the performance of groups with a shorter lockup and that of the funds before the pandemic), a result that may advance the discussion on the effects of redemption restrictions. |
publishDate |
2023 |
dc.date.none.fl_str_mv |
2023-06-02 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://www.revistas.usp.br/rcf/article/view/212521 10.1590/1808-057x20221563.en |
url |
https://www.revistas.usp.br/rcf/article/view/212521 |
identifier_str_mv |
10.1590/1808-057x20221563.en |
dc.language.iso.fl_str_mv |
eng por |
language |
eng por |
dc.relation.none.fl_str_mv |
https://www.revistas.usp.br/rcf/article/view/212521/194583 https://www.revistas.usp.br/rcf/article/view/212521/194582 https://www.revistas.usp.br/rcf/article/view/212521/194581 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2023 Revista Contabilidade & Finanças http://creativecommons.org/licenses/by/4.0 info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2023 Revista Contabilidade & Finanças http://creativecommons.org/licenses/by/4.0 |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf application/pdf text/xml |
dc.publisher.none.fl_str_mv |
Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária |
publisher.none.fl_str_mv |
Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária |
dc.source.none.fl_str_mv |
Revista Contabilidade & Finanças; v. 34 n. 91 (2023); e1563 Revista Contabilidade & Finanças; Vol. 34 No. 91 (2023); e1563 Revista Contabilidade & Finanças; Vol. 34 Núm. 91 (2023); e1563 1808-057X 1519-7077 reponame:Revista Contabilidade & Finanças (Online) instname:Universidade de São Paulo (USP) instacron:USP |
instname_str |
Universidade de São Paulo (USP) |
instacron_str |
USP |
institution |
USP |
reponame_str |
Revista Contabilidade & Finanças (Online) |
collection |
Revista Contabilidade & Finanças (Online) |
repository.name.fl_str_mv |
Revista Contabilidade & Finanças (Online) - Universidade de São Paulo (USP) |
repository.mail.fl_str_mv |
recont@usp.br||recont@usp.br |
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1787713778018680832 |