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This is a pre-copyedited, author-produced version of an article accepted for publication in The Review of Financial Studies following peer review. The version of record Christoffersen, P., Goyenko, R., Jacobs, K., Karoui, M. (2017). Illiquidity Premia in the Equity Options Market, The Review of Financial Studies, Volume 31, Issue 3. Pages 811–851, https://doi.org/10.1093/rfs/hhx113 is available online at: https://doi.org/10.1093/rfs/hhx113.
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Christoffersen et al. (2017) studied this question.
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