We establish existence and uniqueness of equilibrium in a generalized one-period Kyle (1985) model where insider trading can be subject to a penalty cost that is non-decreasing in the trade size.The result is obtained for uniform noise and holds for general penalty functions. Uniqueness is among...

We establish existence and uniqueness of equilibrium in a generalised one-period Kyle (1985) model where insider trades can be subject to a size-dependent penalty. The result is obtained by considering uniform noise and holds for virtually any penalty function. Uniqueness is among all...