Consider the model proposed in Subrahmanyam [1575] and presented in Sect. 10.2. In the setting of Proposition 10.4, suppose that all the \(N\) informed traders are risk neutral, in the sense that \(a \rightarrow 0\). Show that, in this case, the equilibrium value of \(\lambda\) is given by

\[\lambda=\frac{1}{N+1} \sqrt{\frac{N}{1+\sigma_{\eta}^{2}}}\]