Illiquidity and Higher Cumulants

IF 6.8 1区经济学 Q1 BUSINESS, FINANCE

Review of Financial Studies Pub Date : 2022-09-14 DOI:10.1093/rfs/hhac069

Sergei Glebkin, S. Malamud, Alberto M. Teguia

引用次数: 2

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.

查看原文本刊更多论文

文盲和高累积量

我们描述了由战略CARA投资者组成的经济体中的独特均衡，这些投资者以任意分布的收益交易多种风险资产。我们使用我们的显式解来研究期权合约非流动性的共同行为。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。风险规避、实物方差、公开利率的价差可能会减少，盈利公告后价差可能会增加，这与传统观点相反。所有这些预测都是使用美国股票期权的大型面板数据集实证证实的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Review of Financial Studies Multiple-

CiteScore

16.00

自引率

2.40%

发文量

期刊介绍： The Review of Financial Studies is a prominent platform that aims to foster and widely distribute noteworthy research in financial economics. With an expansive editorial board, the Review strives to maintain a balance between theoretical and empirical contributions. The primary focus of paper selection is based on the quality and significance of the research to the field of finance, rather than its level of technical complexity. The scope of finance within the Review encompasses its intersection with economics. Sponsoring The Society for Financial Studies, the Review and the Society appoint editors and officers through limited terms.