Making Money out of Publicly Available Information

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.

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Year of publication:	2003
Authors:	Morrison, Alan ; Vulkan, Nir
Institutions:	Finance Research Centre, Oxford University
Subject:	Market maker model \| beliefs \| information accquisition

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Extent:	application/pdf
Series:	OFRC Working Papers Series.
Type of publication:	Book / Working Paper
Classification:	D82 - Asymmetric and Private Information ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005509821