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Making Money out of Publicly Available Information

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Author Info
Alan D. Morrison
Nir Vulcan ()

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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.

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File URL: http://www.bris.ac.uk/Depts/CMPO/workingpapers/wp65.pdf
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Publisher Info
Paper provided by Department of Economics, University of Bristol, UK in its series The Centre for Market and Public Organisation with number 03/065.

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Length: 14 pages
Date of creation: Feb 2003
Date of revision:
Handle: RePEc:bri:cmpowp:03/065

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Related research
Keywords: marker maker mode. beliefs; information acquisition;

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Find related papers by JEL classification:
D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Foster, F Douglas & Viswanathan, S, 1993. "The Effect of Public Information and Competition on Trading Volume and Price Volatility," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 6(1), pages 23-56. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Diego García & Branko Urosevic, 2004. "Noise and Aggregation of Information in Large Markets," Economics Working Papers 785, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
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This page was last updated on 2009-11-25.

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