Swing Pricing and Fragility in Open-end Mutual Funds /

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....

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Hlavní autor: Jin, Dunhong
Další autoři: Kacperczyk, Marcin, Kahraman, Bige, Suntheim, Felix
Médium: Časopis
Jazyk:English
Vydáno: Washington, D.C. : International Monetary Fund, 2019.
Edice:IMF Working Papers; Working Paper ; No. 2019/227
On-line přístup:Full text available on IMF
Popis
Shrnutí: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 positive impact of alternative pricing rules on fund flows reverses in calm periods when costs associated with higher tracking error dominate the pricing effect.
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Fyzický popis:1 online resource (46 pages)
Médium:Mode of access: Internet
ISSN:1018-5941
Přístup:Electronic access restricted to authorized BRAC University faculty, staff and students