Making Money Out of Publicly Available Information

Oxford Financial Research Center Working Paper No. 2003-FE-07

14 Pages Posted: 28 Apr 2003

See all articles by Alan D. Morrison

Alan D. Morrison

University of Oxford - Said Business School; University of Oxford - Merton College

Nir Vulkan

University of Oxford - Said Business School

Date Written: February 2003

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 acquisition

JEL Classification: D82, G14

Suggested Citation

Morrison, Alan and Vulkan, Nir, Making Money Out of Publicly Available Information (February 2003). Oxford Financial Research Center Working Paper No. 2003-FE-07. Available at SSRN: https://ssrn.com/abstract=384821 or http://dx.doi.org/10.2139/ssrn.384821

Alan Morrison (Contact Author)

University of Oxford - Said Business School ( email )

Department of Finance
Park End Street
Oxford OX1 1HP
United Kingdom
+44 18 6527 6343 (Phone)
+44 18 6527 6310 (Fax)

University of Oxford - Merton College

Merton Street
Oxford OX1 4JD
United Kingdom
+44 18 6527 6343 (Phone)

Nir Vulkan

University of Oxford - Said Business School ( email )

Park End Street
Oxford, OX1 1HP
Great Britain
+44 01865 288929, or 288338 (Phone)
+44 01865 288805 (Fax)

HOME PAGE: https://vulkan.worc.ox.ac.uk/

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