We model how ETFs compete and set fees. We show that ETF secondary market liquidity plays a key role in determining … fees and leads to liquidity clienteles. More liquid ETFs charge higher fees in equilibrium and attract shorter horizon … investors that are more sensitive to liquidity than to fees. The higher turnover of these investors sustains the ETF's high …

We document the performance of liquidity proxies in ETFs. Most proxies are developed for use in equities. However, ETFs … stock liquidity, proxies such as Daily Spread, High-Low, Close-High-Low, and Amihud all do a good job of capturing changes …

-specific information asymmetry and improves portfolio liquidity, the liquidity of active ETFs is adversely affected by diversification …, consistent with the substitution effect between diversification and liquidity documented in the literature. Furthermore, we show … the gap between active ETF and underlying liquidity varies cross-sectionally and over time and can be explained by …