On The Perils of Financial Intermediaries Setting Security Prices : The Mutual Fund Wild Card Option  

Oleh:

Kadlec, Gregory B. ; Edelen, Roger M. ; Chalmers, John M. R.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 6 (2001), page 2209-2236.
Topik: mutual funds; studies; mutual funds; stock prices; pricing policies; statistical analysis
Fulltext: p 2209.pdf (132.19KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.4 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

Lihat Detail Induk

Isi artikel

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 shaer price (NAV) using an algorithm that fails to account for non synchronous 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 non synchronous trading eliminates much of the predictability. However, there are many other potential sources of distortion when intermediaries set prices.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali