The documents will not be written to the appropriate files, but all will be concatenated together and written to file. If - is used as file, documents will be printed to standard output, disabling link conversion. (Use ./- to print to a file literally named -.)
Use of -O is not intended to mean simply "use the name file instead of the one in the URL;" rather, it is analogous to shell redirection: wget -O file
http://foo is intended to work like wget -O -
http://foo > file; file will be truncated immediately, and all downloaded content will be written there.
For this reason, -N (for timestamp-checking) is not supported in combination with -O: since file is always newly created, it will always have a very new timestamp. A warning will be issued if this combination is used.
Similarly, using -r or -p with -O may not work as you expect: Wget won’t just download the first file to file and then download the rest to their normal names: all downloaded content will be placed in file. This was disabled in version 1.11, but has been reinstated (with a warning) in 1.11.2, as there are some cases where this behavior can actually have some use.
Note that a combination with -k is only permitted when downloading a single document, as in that case it will just convert all relative URIs to external ones; -k makes no sense for multiple URIs when they’re all being downloaded to a single file.