Journal article

Swing pricing and fragility in open-end mutual funds

Abstract:: 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.

Publication status:: Published

Peer review status:: Peer reviewed

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APA Style

Jin, D., Kacperczyk, M., Kahraman, B., & Suntheim, F. (2021). Swing pricing and fragility in open-end mutual funds. Review of Financial Studies, 35(1), 1–50.

MLA Style

Jin, D., et al. “Swing Pricing and Fragility in Open-End Mutual Funds.” Review of Financial Studies, vol. 35, no. 1, Oxford University Press, 2021, pp. 1–50.

Chicago Style

Jin, D, M Kacperczyk, B Kahraman, and F Suntheim. 2021. “Swing Pricing and Fragility in Open-End Mutual Funds.” Review of Financial Studies 35 (1): 1–50.
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Files:: Jin_et_al_2021_swing_pricing_and.pdf

(Preview, Version of record, pdf, 590.3KB, Terms of use)

Publisher copy:: 10.1093/rfs/hhab022

Authors

+ Jin, D More by this author

Institution:: University of Oxford
Division:: SSD
Department:: Saïd Business School
Role:: Author

+ Kacperczyk, M More by this author

Role:: Author

+ Kahraman, B More by this author

Institution:: University of Oxford
Division:: SSD
Department:: Saïd Business School
Role:: Author

+ Suntheim, F More by this author

Role:: Author

Publisher:: Oxford University Press
Journal:: Review of Financial Studies More from this journal
Volume:: 35
Issue:: 1
Pages:: 1-50
Publication date:: 2021-03-08
Acceptance date:: 2021-01-06
DOI:: 10.1093/rfs/hhab022
EISSN:: 1465-7368
ISSN:: 0893-9454b

Language:: English
Keywords:: fragility

FFR

strategic complementarity

swing pricing

liquidity mismatch
Pubs id:: 1152548
Local pid:: pubs:1152548
Deposit date:: 2021-01-07

Terms of use

Copyright holder:: Jin et al.
Copyright date:: 2021
Rights statement:: © The Author(s) 2021. Published by Oxford University Press. This is an Open Access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0/), which permits unrestricted reuse, distribution, and reproduction in any medium, provided the original work is properly cited.

Licence:: CC Attribution (CC BY)

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