O efeito das restrições de resgate em fundos de investimento multimercado no contexto da pandemia de Covid-19

Resumo

The present work analyzes the effect of the redemption period on the return and volatility of multimarket investment funds at the moment of the rupture of the flow of resources caused by the outbreak of the Covid-19 Pandemic in Brazil. The sample consists of 200 multimarket funds that made up the basis of the ANBIMA Hedge Funds Index (IHFA), and the target of the event study is the period from February 2020 to April 2020, characterized by the large volume of redemption requests. Control variables are used: size, Shareholders' Equity at the end of 2019, number of shareholders and time of existence of the fund. However, as a limitation of this work, it is worth emphasizing that aspects of the portfolio formation of the evaluated funds were not considered (in this case, it was assumed that funds with a shorter redemption period maintain a higher % of liquid assets in the portfolio). To reduce the heterogeneity of the group with and without rescue restriction, the Propensity Score Matching procedure was used and the matching of the Difference in Difference methodology was analyzed. It was concluded, in this research, that it is not possible to state that multimarket investment funds that have a redemption period of less than one week, considered liquid in this study, were less impacted by the scenario of uncertainty experienced in the Covid-19 Pandemic. Preliminary results indicated that the rupture generated by the Covid-19 Pandemic led to a higher level of annualized volatility and a strong short-term impact on monthly returns, but the parameters recovered quickly.

Ficha do documento

Tipo

Dissertação

Ano

2023

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/33901

Temas

EconomiaDados

Palavras-chave

Propensity Score MatchingInvestment fundsMultimarket fundsFundos de investimentoMultimercadoCovid-19EconomiaFundos de investimento - BrasilMercado financeiro - BrasilVolatilidade (Finanças)COVID-19 Pandemia, 2020-Estatística - Análise