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Article: Swing Pricing and Fragility in Open-End Mutual Funds
Title | Swing Pricing and Fragility in Open-End Mutual Funds |
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Authors | |
Issue Date | 2021 |
Publisher | Oxford University Press. The Journal's web site is located at http://rfs.oxfordjournals.org/ |
Citation | The Review of Financial Studies, 2021, Epub 2021-03-08 How to Cite? |
Abstract | 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. |
Persistent Identifier | http://hdl.handle.net/10722/297618 |
ISSN | 2023 Impact Factor: 6.8 2023 SCImago Journal Rankings: 17.654 |
SSRN | |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Jin, D | - |
dc.contributor.author | Kacperczyk, M | - |
dc.contributor.author | Kahraman, B | - |
dc.contributor.author | Suntheim, F | - |
dc.date.accessioned | 2021-03-23T04:19:30Z | - |
dc.date.available | 2021-03-23T04:19:30Z | - |
dc.date.issued | 2021 | - |
dc.identifier.citation | The Review of Financial Studies, 2021, Epub 2021-03-08 | - |
dc.identifier.issn | 0893-9454 | - |
dc.identifier.uri | http://hdl.handle.net/10722/297618 | - |
dc.description.abstract | 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. | - |
dc.language | eng | - |
dc.publisher | Oxford University Press. The Journal's web site is located at http://rfs.oxfordjournals.org/ | - |
dc.relation.ispartof | The Review of Financial Studies | - |
dc.rights | Pre-print: Journal Title] ©: [year] [owner as specified on the article] Published by Oxford University Press [on behalf of xxxxxx]. All rights reserved. Pre-print (Once an article is published, preprint notice should be amended to): This is an electronic version of an article published in [include the complete citation information for the final version of the Article as published in the print edition of the Journal.] Post-print: This is a pre-copy-editing, author-produced PDF of an article accepted for publication in [insert journal title] following peer review. The definitive publisher-authenticated version [insert complete citation information here] is available online at: xxxxxxx [insert URL that the author will receive upon publication here]. | - |
dc.title | Swing Pricing and Fragility in Open-End Mutual Funds | - |
dc.type | Article | - |
dc.identifier.email | Jin, D: dhjin@hku.hk | - |
dc.identifier.authority | Jin, D=rp02711 | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1093/rfs/hhab022 | - |
dc.identifier.hkuros | 321880 | - |
dc.identifier.volume | Epub 2021-03-08 | - |
dc.identifier.isi | WOS:000736102600001 | - |
dc.publisher.place | United Kingdom | - |
dc.identifier.ssrn | 3496705 | - |
dc.identifier.issnl | 0893-9454 | - |