Publication: Mutual fund liquidity timing ability in the higher moment framework
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Issued Date
2020-01-01
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ISSN
02755319
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2-s2.0-85072534840
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Mahidol University
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SCOPUS
Bibliographic Citation
Research in International Business and Finance. Vol.51, (2020)
Suggested Citation
Woraphon Wattanatorn, Chaiyuth Padungsaksawasdi, Pornchai Chunhachinda, Sarayut Nathaphan Mutual fund liquidity timing ability in the higher moment framework. Research in International Business and Finance. Vol.51, (2020). doi:10.1016/j.ribaf.2019.101105 Retrieved from: https://repository.li.mahidol.ac.th/handle/123456789/49565
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Title
Mutual fund liquidity timing ability in the higher moment framework
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Abstract
© 2019 Elsevier B.V. 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.