Imperial College London
Alternate

ProfessorMarcinKacperczyk

Business School

Professor of Finance
 
 
 
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Contact

 

+44 (0)20 7594 2635m.kacperczyk CV

 
 
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Location

 

2.0253 Prince's GateSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Jin:2022:rfs/hhab022,
author = {Jin, D and Kacperczyk, MT and Kahraman, B and Suntheim, F},
doi = {rfs/hhab022},
journal = {The Review of Financial Studies},
pages = {1--50},
title = {Swing pricing and fragility in open-end mutual funds},
url = {http://dx.doi.org/10.1093/rfs/hhab022},
volume = {35},
year = {2022}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - 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.
AU  - Jin,D
AU  - Kacperczyk,MT
AU  - Kahraman,B
AU  - Suntheim,F
DO  - rfs/hhab022
EP  - 50
PY  - 2022///
SN  - 0893-9454
SP  - 1
TI  - Swing pricing and fragility in open-end mutual funds
T2  - The Review of Financial Studies
UR  - http://dx.doi.org/10.1093/rfs/hhab022
UR  - http://hdl.handle.net/10044/1/85767
VL  - 35
ER  -
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