Woraphon WattanatornSarayut NathaphanMahidol UniversityThammasat University2020-01-272020-01-272019-01-01Asia-Pacific Journal of Accounting and Economics. (2019)21642257160816252-s2.0-85073807428https://repository.li.mahidol.ac.th/handle/20.500.14594/50484© 2019, © 2019 City University of Hong Kong and National Taiwan University. In this study, we examine the difference in mutual fund performance between the bank-related and the non-bank-related mutual funds in emerging markets. We further improve the empirical testing model to match the environment of the high-volatility and high-reward market–the emerging market. Specifically, we introduce co-skewness as an additional important risk factor in this study. Therefore, our model specification matches the non-normality of return distribution in the market. Furthermore, according to the information advantage hypothesis, we provide evidence of the superior market timing ability of the high-performance bank-related fund.Mahidol UniversityBusiness, Management and AccountingEconomics, Econometrics and FinanceArticleSCOPUS10.1080/16081625.2019.1658528