A Swing and a Hit: Optimal Disclosure Policy for Swing Pricing in Mutual Funds

Anna-Theresa Helmke, PhD Candidate at the Wharton School

Abstract: I would like to study three questions: What is the optimal disclosure policy for swing pricing by open-end mutual funds? Specifically, which disclosure rule, with respect to the swing factor and – thresholds, minimizes run risk in open-end mutual funds? Does the disclosure policy rule that is optimal from a financial stability perspective also preclude the possibility of front running by fund investors? Answering this question will likely also require a model of the optimal swing factor. By addressing this critical gap in the literature, my research aims to contribute to inform policy decisions regarding the proposed SEC rule.