Trading out of sight: An analysis of cross-trading in mutual fund families

• 成果类型: Article
• 署名作者: Eisele, Alexander; Nefedova, Tamara; Parise, Gianpaolo; Peijnenburg, Kim
• 署名单位: Universite PSL; Universite Paris-Dauphine; Universite Catholique de Lille; EDHEC Business School; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.12.005
• 发表日期: 2020
• 页码: 359-378
• 关键词: MUTUAL FUND FAMILIES; Cross-trades; monitoring; Backdating; transfer pricing

摘要

This paper explores how mutual fund groups set the price of in-house transactions among affiliated funds. We collect a data set of four million equity transactions and compare the pricing of trades crossed internally (cross-trades) with that of twin trades executed with external counterparties. While cross-trades should reduce transaction costs for both trading parties, we find that the price of cross-trades is set strategically to reallocate performance among sibling funds. Furthermore, we provide evidence that a large number of cross-trades are backdated. We discuss the implications for the literature on fund performance and the current regulatory debate. (C) 2019 Elsevier B.V. All rights reserved.