The Value of ETF Liquidity

• 成果类型: Article
• 署名作者: Khomyn, Marta; Putnins, Talis; Zoican, Marius
• 署名单位: University of Adelaide; University of Technology Sydney; University of Calgary; University of Toronto
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhae041
• 发表日期: 2024
• 页码: 3092
• 关键词: EXCHANGE-TRADED FUNDS; COMPETITION; MARKET; FLOWS

摘要

We analyze how ETFs compete. Drawing on a new model and empirical analysis, we show that ETF secondary market liquidity plays a key role in determining fees. More liquid ETFs for a given index charge higher fees and attract short-horizon investors who are more sensitive to liquidity than to fees. Higher turnover from these investors sustains the ETF's high liquidity, allowing the ETF to extract a rent through its fee, and creating a first-mover advantage. Liquidity segmentation through clientele effects generates welfare losses. Our findings resolve the apparent paradox that higher-fee ETFs not only survive but also flourish in equilibrium.