European Parliament Library

Swing Pricing and Fragility in Open-end Mutual Funds, Dunhong Jin, Marcin Kacperczyk, Bige Kahraman, Felix Suntheim

Abstract
How to prevent runs on open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds’ net asset values to pass on funds’ trading costs to transacting shareholders. Using unique data on investor transactions in U.K. corporate bond funds, we show that swing pricing eliminates the first-mover advantage arising from the traditional pricing rule and significantly reduces redemptions during stress periods. The positive impact of alternative pricing rules on fund flows reverses in calm periods when costs associated with higher tracking error dominate the pricing effect
Language
eng
Literary Form
non fiction
Physical Description
1 online resource (46 pages)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781513519500

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