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Swing Pricing and Fragility in Open-end Mutual Funds
by Dunhong Jin, Marcin Kacperczyk, Bige Kahraman, and Felix Suntheim

Series:Working Paper No. 19/227
ISBN 9781513518336
Code: #WPIEA2019227

Publication year: 2019

Cdn: $27.00; US: $25.00
Language: English
46 pages
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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.
Swing Pricing and Fragility in Open-end Mutual Funds
Cdn: $27.00; US: $25.00
International Monetary Fund (IMF) BookID: 126375 Added: 2019.11.25