Derivatives and market (il)liquidity
We study how derivatives (with nonlinear payoffs) affect the underlying assets liquidity. In a rational expectations equilibrium, informed investors expect low conditional volatility and sell derivatives to the others. These derivative trades affect different investors utility differently, possibly...
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| المؤلفون الرئيسيون: | , , |
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| التنسيق: | text |
| اللغة: | English |
| منشور في: |
Institutional Knowledge at Singapore Management University
2024
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| الموضوعات: | |
| الوصول للمادة أونلاين: | https://ink.library.smu.edu.sg/lkcsb_research/7282 https://ink.library.smu.edu.sg/context/lkcsb_research/article/8281/viewcontent/DerivativesMarketilliq_sv.pdf |
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| المؤسسة: | Singapore Management University |
| اللغة: | English |