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 theMARKET, SIZE,VALUE andMOMENTUMfactors. 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 asmarket liquidity increases.Our study also demonstrates that it is easy to misidentify SIZE liquidity timing asMARKET liquidity timing in models that focus only on MARKET liquidity timing.