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 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

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Year of publication:	2020
Authors:	Jin, Dunhong
Other Persons:	Kacperczyk, Marcin (contributor) ; Kahraman, Bige (contributor) ; Suntheim, Felix (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Investmentfonds \| Investment Fund \| Theorie \| Theory \| Kapitaleinkommen \| Capital income

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