Abstract
We extend Kyle's (Kyle, 1985) analysis of sequential auction markets to the case in which a risk-averse insider possesses private information on the liquidation value of a number of risky assets. We confirm: i) in a multi-asset setting, Holden and Subrahmanyam's counter-intuitive result that risk-aversion induces informed agents to consume more rapidly their long-lived private information vis-a-vis their risk-neutral counter-parts, so that with risk-averse insiders securities markets are more efficient; ii) in a multi-period scenario, Caballe and Krishnan's result that the insider operates in such a way that the price impact of signed volume (order flow) is symmetric across all risky assets.
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