Swing Pricing and Fragility in Open-End Mutual Funds

• 成果类型: Article
• 署名作者: Jin, Dunhong; Kacperczyk, Marcin; Kahraman, Bige; Suntheim, Felix
• 署名单位: Imperial College London; Centre for Economic Policy Research - UK; University of Oxford; International Monetary Fund
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab022
• 发表日期: 2022
• 页码: 1
• 关键词: INVESTOR FLOWS; fire sales; Bank runs; performance; liquidity; MODEL

摘要

How can fragility be averted in 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-level 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 outflows during market stress. Swing pricing also reduces concavity in the flow-performance relationship and dilution in fund performance.