A. S. Kyle, “Informed Speculation with Imperfect Competition,” Review of Economic Studies, Vol. 56, No. 3, 1989, pp. 317-355. doi:10.2307/2297551

has been cited by the following article:

• TITLE: Call Auction Markets with Risk-Averse Specialists

  AUTHORS: Paolo Vitale

  KEYWORDS: Risk-Aversion, Call Auction Markets, Linear Bayesian Equilibria

  JOURNAL NAME: Theoretical Economics Letters, Vol.2 No.2, May 23, 2012

  ABSTRACT: We study a generalization of Kyle’s (1985) model to the case in which the specialist is risk-averse and does not set the transaction price according to semi-strong form efficiency. We see that Kyle’s call auction market is no longer a robust market structure, as linear Bayesian equilibria do not exist, irrespective of fundamentals, such as agents’ information, endowments and preferences. This result holds both when customers can submit only market orders and when limit orders are allowed too.