What Style Liquidity Timing Skills Do Mutual Fund Managers Possess?
该研究将流动性择时测试扩展到四因子模型，发现基金经理并未根据市场流动性变化调整市场敞口，但会在流动性增加时增持小盘股，并指出仅关注市场流动性择时的模型容易误判为规模流动性择时。
Abstract 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.