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Making Money out of Publicly Available Information

Alan Morrison () and Nir Vulkan ()

OFRC Working Papers Series from Oxford Financial Research Centre

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)
New Economics Papers: this item is included in nep-cfn and nep-fin
Date: 2003
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