Making Money out of Publicly Available Information

Alan Morrison and Nir Vulkan

No 2003-FE-07, Economics Series Working Papers from University of Oxford, Department of Economics

Abstract: It is received financial wisdom that when there is free entry by speculators, it is impossible to generate net profits on publicly available information. In this paper we study a version of the standard Kyle (85) model with endogenous information acquisition and we find that equilibria exist with free entry in which speculators make positive profits. Moreover, these equilibria are robust.

Keywords: Market maker model; beliefs; information accquisition (search for similar items in EconPapers)
JEL-codes: D82 G14 (search for similar items in EconPapers)
Date: 2003-02-01
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Citations: View citations in EconPapers (1)

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