Restrições de resgate em fundos de ações, liquidez dos ativos e desempenho

Dermeval Martins Borges Junior and Rodrigo Fernandes Malaquias

RAE - Revista de Administração de Empresas, 2019, vol. 59, issue 1

Abstract: This paper analyzed the relation between redemption constraints and liquidity of portfolios under management of Brazilian equity funds, as well as its effect on performance. The sample included 2,706 Brazilian equity funds with investments in stocks listed on BM&FBovespa or in shares of other equity funds in the period between 2009 and 2016. The data were analyzed through descriptive statistics and linear regressions with panel data. The results indicated that redemption constraints positively impact equity funds performance. In addition, the results also suggested that liquidity constraints allow the funds to exploit less liquid investments in stocks and shares of other funds. When verifying if invest­ments in low liquidity assets by equity funds imply superior performance from liquidity premia, the results did not indicate a positive effect.

Date: 2019
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