Liquidity Timing in the Higher Moment Framework: Evidence from Bank Affiliated Fund

47 Pages Posted: 20 Aug 2016

See all articles by Woraphon Wattanatorn

Woraphon Wattanatorn

Mahidol University International College (MUIC); Silpakorn University

Chaiyuth Padungsaksawasdi

Thammasat Business School

Pornchai Chunhachinda

Thammasat University

Sarayut Nathaphan

Mahidol University International College (MUIC)

Multiple version iconThere are 2 versions of this paper

Date Written: June 25, 2016

Abstract

A non-normal stock return distribution is common in emerging markets. We propose a new liquidity timing model in a higher moment. Overall, fund managers are able to time the market-wide liquidity even in a higher moment environment. A co-skewness risk factor is statistically priced. High performing portfolios possess significantly positive liquidity timing ability, while low performing portfolios show oppositely. Thus, high performing funds increase (decrease) the funds' exposure to the market during a high (low) market liquidity period, while low performing funds wrongly forecast market liquidity. Moreover, only bank-related mutual funds possess the liquidity timing ability, supporting the information advantage hypothesis.

Keywords: liquidity timing, mutual fund performance, timing ability, bank-related mutual fund, higher moment liquidity timing

JEL Classification: G11, G12, G21, G23

Suggested Citation

Wattanatorn, Woraphon and Padungsaksawasdi, Chaiyuth and Chunhachinda, Pornchai and Nathaphan, Sarayut, Liquidity Timing in the Higher Moment Framework: Evidence from Bank Affiliated Fund (June 25, 2016). 29th Australasian Finance and Banking Conference 2016. Available at SSRN: https://ssrn.com/abstract=2826362 or http://dx.doi.org/10.2139/ssrn.2826362

Woraphon Wattanatorn (Contact Author)

Mahidol University International College (MUIC) ( email )

999 Buddhamonthon 4 Road
Salaya, Nakhonpathom, 73170
Thailand

Silpakorn University ( email )

1 Moo 3 Sampraya
Cha-am, Petchaburi 76120
Thailand

Chaiyuth Padungsaksawasdi

Thammasat Business School ( email )

2 Prachan Road
Pranakorn
Bangkok, Bangkok 10200
Thailand

Pornchai Chunhachinda

Thammasat University ( email )

Bangkok, 10200
Thailand

Sarayut Nathaphan

Mahidol University International College (MUIC) ( email )

999 Buddhamonthon 4 Road
Salaya, Nakhonpathom, 73170
Thailand

Register to save articles to
your library

Register

Paper statistics

Downloads
30
Abstract Views
322
PlumX Metrics