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What Style Liquidity Timing Skills Do Mutual Fund Managers Possess?
Author(s) -
Bazgour Tarik,
Bodson Laurent,
Sougné Danielle
Publication year - 2017
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/fire.12117
Subject(s) - market liquidity , funding liquidity , business , liquidity crisis , mutual fund , liquidity risk , anticipation (artificial intelligence) , market timing , monetary economics , market impact , economics , finance , order (exchange) , market microstructure , portfolio , artificial intelligence , computer science
Recent studies claim that mutual fund managers demonstrate strong MARKET liquidity timing skills. We extend their liquidity timing tests to the four‐factor case and investigate liquidity timing skills with respect to the MARKET, SIZE, VALUE and MOMENTUM factors. Contrary to these claims, we find no evidence that fund managers adjust market exposure in anticipation of market liquidity changes. We find rather strong evidence that fund managers successfully overweight small stocks as market liquidity increases. Our study also demonstrates that it is easy to misidentify SIZE liquidity timing as MARKET liquidity timing in models that focus only on MARKET liquidity timing.