Swing pricing and fragility in open-end mutual funds
How to avert fragility 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...
| Prif Awduron: | , , , |
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| Fformat: | Journal article |
| Iaith: | English |
| Cyhoeddwyd: |
Oxford University Press
2021
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| _version_ | 1826312915801604096 |
|---|---|
| author | Jin, D Kacperczyk, M Kahraman, B Suntheim, F |
| author_facet | Jin, D Kacperczyk, M Kahraman, B Suntheim, F |
| author_sort | Jin, D |
| collection | OXFORD |
| description | How to avert fragility 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. |
| first_indexed | 2024-03-07T05:59:03Z |
| format | Journal article |
| id | oxford-uuid:eb89b6f5-9a37-4725-a27c-1b2dd0b39150 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-09-25T04:02:44Z |
| publishDate | 2021 |
| publisher | Oxford University Press |
| record_format | dspace |
| spelling | oxford-uuid:eb89b6f5-9a37-4725-a27c-1b2dd0b391502024-04-26T11:34:00ZSwing pricing and fragility in open-end mutual fundsJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:eb89b6f5-9a37-4725-a27c-1b2dd0b39150EnglishSymplectic ElementsOxford University Press2021Jin, DKacperczyk, MKahraman, BSuntheim, FHow to avert fragility 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. |
| spellingShingle | Jin, D Kacperczyk, M Kahraman, B Suntheim, F Swing pricing and fragility in open-end mutual funds |
| title | Swing pricing and fragility in open-end mutual funds |
| title_full | Swing pricing and fragility in open-end mutual funds |
| title_fullStr | Swing pricing and fragility in open-end mutual funds |
| title_full_unstemmed | Swing pricing and fragility in open-end mutual funds |
| title_short | Swing pricing and fragility in open-end mutual funds |
| title_sort | swing pricing and fragility in open end mutual funds |
| work_keys_str_mv | AT jind swingpricingandfragilityinopenendmutualfunds AT kacperczykm swingpricingandfragilityinopenendmutualfunds AT kahramanb swingpricingandfragilityinopenendmutualfunds AT suntheimf swingpricingandfragilityinopenendmutualfunds |