ETF Premiums and Liquidity Segmentation
研究发现流动性分割可以解释ETF相对于资产净值的溢价及其生命周期模式，其中跟踪误差标准差较大的ETF溢价更高，外国和固定收益ETF的流动性优势对投资者最有价值。
Abstract Exchange traded funds (ETFs) provide a means for investors to access assets indirectly that may be accessible at a high cost otherwise. I show that liquidity segmentation can explain the tendency for ETFs to trade at a premium to net asset value (NAV) as well as the life‐cycle pattern in premiums. ETFs with larger NAV tracking error standard deviations ( TESD s) tend to trade at higher premiums and the liquidity benefits offered by foreign ETFs and fixed income ETFs are revealed to be the most valuable to investors. Further tests validate that TESD has the desirable properties of a liquidity segmentation measure.