I study investors’ trade-off between ETFs and open-ended mutual funds in the presence of idiosyncratic liquidity risk and aggregate uncertainty. Based on a portfolio choice model, I show that ETFs and mutual funds provide liquidity at different maturities.…Read More
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.…Read More
