@article{3e580bc82e524e47b0ce0b32da6a424b,
title = "Do mutual fund managers time market liquidity?",
abstract = "This paper examines mutual fund managers' ability to time market-wide liquidity. Using the CRSP mutual fund database, we find strong evidence that over the 1974-2009 period, mutual fund managers demonstrate the ability to time market liquidity at both the portfolio level and the individual fund level. Liquidity timing predicts future fund performance and the difference in the risk-adjusted returns between top and bottom liquidity-timing funds is approximately 2% per year. Funds exhibiting liquidity-timing ability tend to have longer histories, higher expense ratios, and higher turnover rates.",
author = "Charles Cao and Simin, {Timothy T.} and Ying Wang",
note = "Funding Information: We are grateful to Jeffrey Busse, Grant Farnsworth, Wayne Ferson, Jean Helwege, Jingzhi Huang, Bill Kracaw, James Miles, Pamela Moulton, Maureen O'Hara, Lubos Pastor, Hany Shawky, Jun Tu, Mitch Warachka, Joe Zhang, and seminar participants at the Pennsylvania State University, Singapore Management University, the University at Albany-SUNY, the Financial Management Association annual meetings, the Liquidity Risk Management Conference, the Northern Finance Association annual meetings, and the Sanford Bernstein Controversies in Quantitative Finance conference for their valuable comments and suggestions. Special thanks to Tarun Chordia and Bruce Lehmann (Co-Editors) and an anonymous referee whose comments significantly improved the quality of our paper. Wang acknowledges financial support from the Center for Institutional Investment Management (CIIM) at the University at Albany-SUNY. Copyright: Copyright 2013 Elsevier B.V., All rights reserved.",
year = "2013",
month = may,
doi = "10.1016/j.finmar.2012.10.004",
language = "English (US)",
volume = "16",
pages = "279--307",
journal = "Journal of Financial Markets",
issn = "1386-4181",
publisher = "Elsevier B.V.",
number = "2",
}