RDP 8707: Asymmetric Information and Bid-Ask Spreads in the Eurocurrency Markets Appendix 2 Proof of Proposition 2

Equilibrium is defined by h - Rg(h)
  k – hσ.

Let R – Inline Equation where c ≡ Inline Equation

We wish to sign the derivatives of k with respect to Inline Equation and c.

Then Inline Equation are also negative from the definition of c