Dear Editor in chief

We are pleased to submit an original research article entitled “Do Small-Cap fund managers are really
familiar with small stock? The explanation from coskewness timing ability” by Woraphon Wattanatorn for
consideration for publication in the Financial Innovation. In this study, we investigate the mutual fund
managers’ ability to time market coskewness. The major contribution of this study is to provide a new
aspect of the market timing ability of mutual fund manager which is not yet addressed in the published
literature. By Analyzing nine investment styles of US equity fund, we find strong evidence to support that
between 1973 and 2018, mutual fund managers investing in Small-Blend and Small-Growth schemes
demonstrate the ability to time the market coskewness. We further conduct the robustness tests. Our
results are robust to the exclusion of crisis periods, sub-periods analysis, coskewness construction
method, the inclusion of coskewness risk factor. Therefore, we believe that this manuscript is appropriate
for publication by Financial Innovation because it matches various topics covered by this journal.

This manuscript has not been published and is not under consideration for publication elsewhere.

Thank you for your consideration.

Sincerely,

Woraphon Wattanatorn
Name Email Address Expert
de Boyrie, Maria E. deboyrie@nmsu.edu College of Business Financial
Finance Department management, asset
ATTN: Individual’s name pricing, portfolio
MSC 3FIN, PO Box management.
30001
New Mexico State
University
Las Cruces, NM 88003-
8001
Assoc Prof Charlie ACHARLIE@NTU.EDU.SG Division of Banking & Financial
Charoenwong Finance College of Management,
Business (Nanyang Financial Modeling,
Business School) 50 Asset Pricing Theory,
NANYANG AVENUE and Equity Portfolio
SINGAPORE 639798 Management
Assoc Prof Piman piman@pdx.edu Office: SBA 538 Corporate Finance,
Limpaphayom Portland State Asian regulators and
University practitioners on
Academic Director, various corporate
Master of International governance.
Management Program Risk management
Mail Code and organizational
PO Box 751 structure, and
Portland OR 97207 bankruptcy re-
structuring and firm
valuation.
Assoc Prof Pornsit pjiraporn@gmail.com School of Graduate agency theory,
Jiraporn Professional Studies corporate finance,
(SGPS) corporate
Pennsylvania State governance, mergers
University and acquisitions,
30 E. Swedesford Road earnings
management, capital
structure, corporate
diversification.