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Swing Pricing and Fragility in Open-end Mutual Funds
| Content Provider | Scilit |
|---|---|
| Author | Jin, Dunhong Kacperczyk, Marcin T. Kahraman, Bige Suntheim, Felix |
| Copyright Year | 2019 |
| Description | Journal: SSRN Electronic Journal In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing or dual pricing) adjust funds’ net asset values to pass on funds’ trading costs to transacting shareholders. Using data on open-end corporate bond mutual funds, we show that alternative pricing rules eliminate the first-mover advantage arising from the traditional pricing rule and significantly reduce redemptions that are observed during stress periods. Using unique data available at the end-investor level, we confirm that alternative rules alter investors’ behavior. Fund companies perceive their pricing schemes as a substitute to other means of liquidity risk management. |
| Related Links | https://www.imf.org/~/media/Files/Publications/WP/2019/wpiea2019227-print-pdf.ashx https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3280890 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.3280890 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2019-06-01 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Open-end Mutual Fund Liquidity Mismatch Swing Pricing |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |
