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.

中文翻译：

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流动性不足和更高的累积量

我们描述了由战略 CARA 投资者组成的经济中的独特均衡，他们以任意分配的收益交易多种风险资产。我们使用我们的显式解决方案来研究期权合约非流动性的联合行为。期权买卖价差与风险厌恶和期权收益的风险中性方差成正比。与传统观点相反，风险规避、实物差异、未平仓头寸的利差可能会降低，并在收益公布后增加。所有这些预测都使用美国股票期权的大型面板数据集进行了实证验证。