Swing Pricing and Fragility in Open-End Mutual Funds
研究摆动定价如何通过消除先行者优势、减少市场压力期间的资金外流，来缓解开放式共同基金的脆弱性，对基金管理者与监管者有参考价值。
Abstract How 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.