Mutual fund liquidity timing ability in the higher moment framework

Woraphon Wattanatorn, Chaiyuth Padungsaksawasdi, Pornchai Chunhachinda and Sarayut Nathaphan

Research in International Business and Finance, 2020, vol. 51, issue C

Abstract: Using mutual fund data in Thailand, this study shows that fund managers can time the market-wide liquidity in the higher moment framework. High-performing fund managers demonstrate significantly positive liquidity timing ability, while low-performing fund managers do not. Thus, high-performing fund managers increase (decrease) the funds' exposure to the market during a high (low) market liquidity period, while low-performing fund managers do not show the liquidity timing ability. Moreover, only top-performing bank-related mutual funds possess the liquidity timing ability, supporting the information advantage hypothesis. Nonbank-related funds do not possess the liquidity timing ability at both the aggregate and portfolio levels. Several robustness tests confirm the findings.

Keywords: Liquidity timing; Mutual fund performance; Market timing; Bank-related mutual fund; Higher moment liquidity timing (search for similar items in EconPapers)
JEL-codes: G11 G12 G21 G23 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531918311012

DOI: 10.1016/j.ribaf.2019.101105

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