【JFE】Index providers: Whales behind the scenes of ETFs 指数提供商：ETF幕后的大鳄们——樊英志分享

科研基地组织前沿文献研读交流会，樊英志针对2023年发表于国际金融顶刊Journal of Financial Economics的论文Index providers: Whales behind the scenes of ETFs进行主题分享。

大多数ETF复制的是由指数提供商授权的指数。研究发现，指数提供商拥有强大的市场支配力，并向ETF收取高额溢价，这些成本最终转嫁给了投资者。文章证实了以下三个典型事实：(i) 指数提供商市场高度集中；(ii) 尽管指数提供商的身份对ETF回报的解释力微乎其微，但投资者仍十分关注其身份；(iii) 超过三分之一的ETF费用比率以许可费形式支付给了指数提供商。结构分解分析表明，许可费中有60%源于指数提供商的加价。反事实分析显示，提升指数提供商之间的竞争程度可使ETF费用比率降低多达30%。

ABSTRACT

Most ETFs replicate indexes licensed by index providers. We show that index providers wield strong market power and charge large markups to ETFs that are passed on to investors. We document three stylized facts: (i ) the index provider market is highly concentrated; (ii ) investors care about the identities of index providers, although they explain little variation in ETF returns; and (iii ) over one-third of ETF expense ratios are paid as licensing fees to index providers. A structural decomposition attributes 60% of licensing fees to index providers’ markups. Counterfactual analyses show that improving competition among index providers reduces ETF expense ratios by up to 30%.