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A Theory of Trading in Stock Index Futures
Risk Aversion Market Liquidity and Price Efficiency
SP 500 Stock BidAsk Spreads Around the Introduction
1 other sections not shown
500 futures contract Admati and Pfleiderer adverse selection assumption average spread averse market maker bid-ask spreads combined sample comparative statics competition decrease denote discretionary liquidity traders equation expected profits expected utility factor informed traders implications index futures contract index futures markets indicator variable individual securities informed traders trade introduction intuition Kyle large number Lemma market liquidity market maker's response Nash equilibrium Natural logarithms noise trading non-S&P 500 sample non-S&P 500 stocks number of factor number of informed number of securities number of security-specific order flow Pfleiderer 1988b portfolio of individual post-futures period pre-futures period price changes pricing parameter private information Proposition quartile quintic equation random variables risk averse informed risk averse market risk neutral informed S&P 500 futures S&P 500 sample S&P 500 stocks security-specific informed traders signal signal noise strategy subsample t-val traders are assumed traders are risk trading volume unimodal function var(l var(m var(r