Allen, Kyle
[Verfasser:in]
;
Cashman, George D.
[Sonstige Person, Familie und Körperschaft];
Winters, Drew B.
[Sonstige Person, Familie und Körperschaft]
How Informative is Floating NAV When Securities Trade Infrequently?
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 2, 2013 erstellt
Beschreibung:
NAV is at the forefront of a policy debate; namely, whether or not money market funds should switch from a fixed $1 to a floating NAV. The supporters of floating NAV argue that this will provide investors with better information regarding the value of the fund's underlying portfolio. However, this argument relies on up-to-date market transactions for the underlying securities, which is not the case for money market fund investments. Using closed-end fixed-income mutual funds we examine how informative a floating NAV is when portfolio securities trade infrequently. We find that while NAV and prices are co-integrated, we find little evidence that NAV is informative for fund investors. Our results suggest that requiring money market funds to use a floating NAV is unlikely to provide better information to investors