Active exchange traded funds (ETFs) are less liquid than their underlying portfolios. We attribute this finding, which contrasts with that for passive ETFs, to uncertainty about the future holdings of active ETFs. In addition, while diversification generally reduces firm-specific information asymmetry and improves portfolio liquidity, it impairs the liquidity of active ETFs, consistently with the substitution effect between diversification and liquidity documented in the literature. We show that the gap between active ETF and underlying liquidity varies cross-sectionally and over time and can be explained by differences in size and volume between ETFs and their underlying portfolio, by ETF age, and by ETF pricing errors.

活跃交易所买卖基金（ETF）的流动性低于其基础投资组合。我们将这一发现与无源ETF的形成对比归因于对有源ETF未来持有量的不确定性。此外，尽管多元化通常会减少公司特定信息的不对称性并提高投资组合的流动性，但它会损害活跃ETF的流动性，这与文献中记载的多元化和流动性之间的替代效应一致。我们显示，活跃的ETF与基础流动性之间的差距随时间的变化而变化，并且可以用ETF及其基础投资组合的大小和数量的差异，ETF的使用期限以及ETF的定价错误来解释。