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Is the Price Right? Swing Pricing and Investor Redemptions
| Content Provider | Scilit |
|---|---|
| Author | Lewrick, Ulf Schanz, Jochen F. |
| Copyright Year | 2017 |
| Description | Journal: SSRN Electronic Journal How effective are available policy tools in managing liquidity risks in the mutual fund industry? We assess one such tool - swing pricing - which allows funds to adjust their settlement price in response to large net flows. Our empirical analysis exploits the fact that swing pricing is available to Luxembourg funds, but not yet to U.S. funds. We show that swing pricing dampens out flows in reaction to weak fund performance, but has a limited effect during stress episodes. Furthermore, swing pricing supports fund returns, while raising accounting volatility, and may lead to lower cash buffers. |
| Related Links | http://www.bis.org/publ/work664.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3055690 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.3055690 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2017-10-11 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Swing Pricing |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |
