On the Perils of Financial Intermediaries Setting Security Prices: The Mutual Fund Wild Card Option
研究金融中介设定价格导致的扭曲，以共同基金为例，指出其定价算法未考虑非同步交易，导致净值可预测变化和套利机会，修正算法可消除大部分可预测性。
ABSTRACT Economic distortions can arise when financial claims trade at prices set by an intermediary rather than direct negotiation between principals. We demonstrate the problem in a specific context, the exchange of open‐end mutual fund shares. Mutual funds typically set fund share price (NAV) using an algorithm that fails to account for nonsynchronous trading in the fund's underlying securities. This results in predictable changes in NAV, which lead to exploitable trading opportunities. A modification to the pricing algorithm that corrects for nonsynchronous trading eliminates much of the predictability. However, there are many other potential sources of distortion when intermediaries set prices.