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Article: Swing Pricing and Fragility in Open-End Mutual Funds

TitleSwing Pricing and Fragility in Open-End Mutual Funds
Authors
Jin, DKacperczyk, MKahraman, BSuntheim, F
Issue Date2021
PublisherOxford 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?
DOI: http://dx.doi.org/10.1093/rfs/hhab022
AbstractHow 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 Identifierhttp://hdl.handle.net/10722/297618
ISSN
0893-9454
2021 Impact Factor: 8.414
2020 SCImago Journal Rankings: 12.800
SSRN
3496705
ISI Accession Number ID
WOS:000736102600001

 

DC FieldValueLanguage
dc.contributor.authorJin, D-
dc.contributor.authorKacperczyk, M-
dc.contributor.authorKahraman, B-
dc.contributor.authorSuntheim, F-
dc.date.accessioned2021-03-23T04:19:30Z-
dc.date.available2021-03-23T04:19:30Z-
dc.date.issued2021-
dc.identifier.citationThe Review of Financial Studies, 2021, Epub 2021-03-08-
dc.identifier.issn0893-9454-
dc.identifier.urihttp://hdl.handle.net/10722/297618-
dc.description.abstractHow 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.languageeng-
dc.publisherOxford University Press. The Journal's web site is located at http://rfs.oxfordjournals.org/-
dc.relation.ispartofThe Review of Financial Studies-
dc.rightsPre-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.titleSwing Pricing and Fragility in Open-End Mutual Funds-
dc.typeArticle-
dc.identifier.emailJin, D: dhjin@hku.hk-
dc.identifier.authorityJin, D=rp02711-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1093/rfs/hhab022-
dc.identifier.hkuros321880-
dc.identifier.volumeEpub 2021-03-08-
dc.identifier.isiWOS:000736102600001-
dc.publisher.placeUnited Kingdom-
dc.identifier.ssrn3496705-
dc.identifier.issnl0893-9454-

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