The authors develop a multiperiod auction model in which multiple
privately informed agents strategically exploit their long-lived
information. They show that such traders compete aggressively and cause
most of their common private information to be revealed very rapidly. In
the limit, as the interval between auctions approaches zero, market depth
becomes infinite and all private information is revealed immediately.
These results are in contrast to those of Albert S. Kyle (1985) in which
the monopolistic informed trader causes his information to be incorporated
into prices gradually and, when the interval between auctions is
vanishingly small, market depth is constant over time.
Copyright 1992 by American Finance Association.