We find evidence of widespread stale pricing in bond mutual funds and the resulting risks of dilution and fragility. A principal driver of this phenomenon is the high illiquidity of funds’ holdings, which makes accurate pricing difficult and provides funds with greater discretion over valuation. Consequently, net asset values (NAVs) are extremely stale and fund returns are predictable over several days and weeks, particularly during market crises. Opportunistic traders withdraw capital from overvalued funds, exacerbating the risk of fund runs, while buy-and-hold investors face annual dilution of around $1.2 billion. Our results highlight adverse consequences of insufficient fair valuation practices that remain pervasive even after corrective regulations that followed the 2003 market-timing scandal.

我们发现债券共同基金普遍存在定价过时以及由此产生的稀释和脆弱风险的证据。这种现象的一个主要驱动因素是基金所持资产的高度非流动性，这使得准确定价变得困难，并为基金提供了更大的估值自由裁量权。因此，资产净值 (NAV) 极其陈旧，基金回报在几天和几周内是可预测的，尤其是在市场危机期间。投机交易者从估值过高的基金中撤资，加剧了基金挤兑的风险，而买入并持有的投资者每年面临约 12 亿美元的稀释。我们的研究结果强调了不公平估值做法的不利后果，即使在 2003 年市场时机丑闻之后的纠正性法规之后，这种做法仍然普遍存在。