Illiquidity and Higher Cumulants
研究了策略性CARA投资者交易多风险资产的经济均衡，发现期权买卖价差与风险厌恶和风险中性方差成正比，且价差可能在风险厌恶增加、物理方差增加、未平仓量增加时下降，并在财报公布后上升，这些预测得到了美国股票期权大样本数据的实证支持。
Abstract We characterize the unique equilibrium in an economy populated by strategic CARA investors who trade multiple risky assets with arbitrarily distributed payoffs. We use our explicit solution to study the joint behavior of illiquidity of option contracts. Option bid-ask spreads are proportional to risk aversion and risk-neutral variances of option payoffs. Spreads may decrease in risk aversion, physical variance, open interest, and increase after earnings announcements in a result contrary to conventional wisdom. All these predictions are confirmed empirically using a large panel data set of U.S. stock options. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.