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Making Money out of Publicly Available InformationAlan D. MorrisonUniversity of Oxford - Said Business School; University of Oxford - Merton College Nir VulkanUniversity of Oxford - Said Business School February 2003 Oxford Financial Research Center Working Paper No. 2003-FE-07 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.
Number of Pages in PDF File: 14 Keywords: Market maker model, beliefs, information acquisition JEL Classification: D82, G14 working papers seriesDate posted: April 28, 2003Suggested CitationContact Information
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