Making Money Out of Publicly Available Information

Morrison, Alan D.; Vulkan, Nir

doi:10.2139/ssrn.384821

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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: 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