Long-Lived Private Information and Imperfect Competition Academic Article uri icon


  • 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.

publication date

  • March 1992

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