Woraphon WattanatornChaiyuth PadungsaksawasdiPornchai ChunhachindaSarayut NathaphanMahidol UniversityThammasat University2020-01-272020-01-272020-01-01Research in International Business and Finance. Vol.51, (2020)027553192-s2.0-85072534840https://repository.li.mahidol.ac.th/handle/123456789/49565© 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.Mahidol UniversityBusiness, Management and AccountingEconomics, Econometrics and FinanceArticleSCOPUS10.1016/j.ribaf.2019.101105