Lockup periods during lockdown periods in the context of Brazilian funds

ABSTRACT 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.摘要 本文旨在检验锁定期（lockup periods）对巴西股票型基金（equity funds）与多市场基金（multimarket funds）业绩的影响，研究时段涵盖2019冠状病毒病（COVID-19）疫情影响周期。本研究有助于更深入理解施加于份额持有人（quotaholders）的赎回限制（redemption restrictions）所产生的效应——鉴于巴西基金数量持续攀升，该主题具备重要现实价值。本次分析特别聚焦于新冠疫情影响的时间段。鉴于锁定期设置属于长期决策的组成部分，本研究结果对个人投资者、专业投资者均具有参考意义，同时也可惠及巴西大型基金家族。本研究有望对基金行业规划、各类投资者的财务规划乃至该主题的相关学术文献产生积极影响，激励后续新研究的开展。 本次研究样本共包含17417只巴西基金，其中多市场基金13581只、股票型基金3836只，覆盖时段为2018年1月至2021年12月。为确保研究结果的稳健性，本次研究对多个子样本进行了检验。研究假设通过面板数据（panel）构建的双重差分模型（difference-in-difference model）进行检验。基金业绩每季度基于四因子阿尔法（four-factor alpha）进行估算。 研究主要结果显示，锁定期与基金业绩呈正相关关系。但在新冠疫情带来负面影响的时间段内，锁定期更长的基金并未表现优于其他基金（对比维度包含锁定期更短的基金组以及疫情前的基金业绩），该结果或可推动关于赎回限制效应的学术讨论。