The Value of ETF Liquidity
研究了ETF如何竞争，发现二级市场流动性是决定费率的关键：流动性越高的ETF收费越高，吸引短期投资者，从而形成先发优势，但流动性分割导致福利损失。
Abstract 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.