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Indiana University Bloomington

Department of Finance

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Research and Publications

Journal Articles

Long-Lived Private Information and Imperfect Competition

1992, Journal of Finance

Craig W. Holden, Avanidhar Subrahmanyam


We develop a multi-period auction model in which multiple privately informed agents strategically exploit their long-lived information. We 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 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.


Holden, Craig W. and Avanidhar Subrahmanyam (1992), “Long-Lived Private Information and Imperfect Competition,” The Journal of Finance, Vol. 47, pp. 247-270.