| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13929 |
| DP13929 Swing Pricing and Fragility in Open-end Mutual Funds | |
| Dunhong Jin; Marcin Kacperczyk; Bige Kahraman; Felix Suntheim | |
| 发表日期 | 2019-08-13 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | 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 stabilizing effect is internalized particularly by institutional investors and investors with longer investment horizons. 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. |
| 主题 | Financial Economics |
| 关键词 | Liquidity mismatch Fund runs Fragility Swing pricing Strategic complementarity |
| URL | https://cepr.org/publications/dp13929 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542810 |
| 推荐引用方式 GB/T 7714 | Dunhong Jin,Marcin Kacperczyk,Bige Kahraman,et al. DP13929 Swing Pricing and Fragility in Open-end Mutual Funds. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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